Re: [Gretl-users] Creating cointegrated series
On Wed, 7 Mar 2012, John C Frain wrote:
2) Consider simulating the model in VECM format. Otherwise I see no
problem with your approach.
Better still IMO: cast your model in VAR (levels) format and then use the
varsimul() function; there will be some series/list/matrix conversions to
do, but it's a nicely compact and decently efficient way of getting the
job done.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti