Re: [Gretl-users] Asymmetric ECM with Gretl, is it possible ?
Hi again,
Thanks for help ! And yes, I mean that Shin et al -version of asymmetric
ECM, in this case with two explanatory variables and a couple of dummies.
Unfortunately, I have not managed to realize that, though I do understand
the idea of it, as well an idea of that partial sum proces mentioned
below. The main problem is that I do not know how to get Gretl to take into
account all four (positive and negative values of the both of
explanatories) restrictions at the same time. If I use a way Sample -
Restrict, based on criterion, only one of limits is taken into account. If
I make a model by using the whole data and after it use a way Tests-Linear
restrictions and write all needed conditions there, nothing happens. I have
done these kind of models earlier with another programme, but this with
Gretl is something new for me.
I would be so pleased, if someone could help me with this problem.
Thanks for your,
Hanne
On Tue, Apr 3, 2012 at 6:52 PM, artur tarassow <
artur.tarassow(a)googlemail.com> wrote:
Is your question related to the approach suggested, among others, by
Shin
et al.? If you mean this one, the answer is "yes".
Actually you simply need to decompose your series of interest into the
positive and negative partial sum processes using e.g.
smpl $i > 0 --restrict
command and estimate a single-equation ECM as usual.
Artur
Am 3. April 2012 17:42 schrieb Hanne holopainen <nevalaine1(a)gmail.com>:
> Hi everybody !
>
> I am a beginner as a user of Gretl and I would be very pleased if someone
> could help me with a few details. Especially I am interested in
> possibilities offered by Gretl to make an asymmetric error correction
> model. I have not been able to find a way to divide my data, or in fact
> explanatory variables, on the basis of their sign (positive/negative), so
> that both positive and negative values of them would be in the model at the
> same time . Is it possible in Gretl at all ?
>
> Sincerely,
>
> Hanne
>
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