Re: [Gretl-users] System estimation
On Fri, 24 Aug 2007, Franck Nadaud wrote:
I would like to know if it is possible in system estimation to
recover all the
coefficients and standards errors, because i have to compute the AIDS
elasticities.
At the moment, it isn't. However, it should be rather simple to have the
$coeff accessor work for systems the way $uhat does now. A further problem
may arise with the parameter covariance matrix, since $vcv is already
"taken" by the residuals covariance matrix.
Allin, it may be a good idea to use $sigma (unused in a system/VAR/VECM
context) for the residuals covariance and divert $vcv to the parameters
covariance matrix. This would also make the use of accessors more
consistent across single equation/multiple equations methods. What do you
think?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti