Re: [Gretl-users] Help - estimation of Profile likelihood function for TVECM

Thanks! Well I run script without "--Progressive" option. Unfortunately, it dropped my second variable (ECT1) because it contains only 0-s. However, I need both in the equation ECT1 and ECT2. Do you have any solution? Here is the copy of results: Current session: 2015-05-18 15:13 ? T=$nobs Replaced scalar T = 94 ? loop i=1..T --quiet > genr ECT1 = ECT*(time <= i) > genr ECT2 = ECT-ECT1 > ols D_ARM *ECT1 ECT2 *D_FRN1 D_ARM1 > genr LF = $lnl > store "C:\Users\Svanidze\Desktop\LF.gdt" LF > endloop Model 767: OLS, using observations 2006:12-2014:08 (T = 93) Dependent variable: D_ARM *Omitted because all values were zero: ECT1* coefficient std. error t-ratio p-value -------------------------------------------------------- ECT2 −0.281632 0.0562133 −5.010 2.70e-06 *** D_FRN1 −0.0226867 0.103735 −0.2187 0.8274 D_ARM1 0.131557 0.0901396 1.459 0.1479 ******************** I skip the rest ********************************************** Best, Miranda On Mon, May 18, 2015 at 3:03 PM, Riccardo (Jack) Lucchetti < r.lucchetti(a)univpm.it&gt; wrote: > On Mon, 18 May 2015, Miranda Svanidze wrote: > > To clarify my problem written in the previous email, I am adding results >> from Gretl. >> > > I dn't understand why you need the --progressive flag. Is the following > example of any help to you? > > <hansl> > set echo off > set messages off > > open AWM.gdt --quiet > series y = ln(YER) > series c = ln(PCR) > series z = y - c > diff y c > > T = $nobs > series ll = NA > > loop i=1..T --quiet > series zp = z * (time < i) > series zm = z - zp > ols d_c 0 d_y zp(-1) zm(-1) --quiet > ll[i] = $lnl > endloop > > plot ll > options time-series with-lines > end plot --output=display > </hansl> > > > ------------------------------------------------------- > Riccardo (Jack) Lucchetti > Dipartimento di Scienze Economiche e Sociali (DiSES) > > Università Politecnica delle Marche > (formerly known as Università di Ancona) > > r.lucchetti(a)univpm.it > http://www2.econ.univpm.it/servizi/hpp/lucchetti > ------------------------------------------------------- >