[Gretl-users] SVEC_GUI (was: Re: Re: Identification of SVARs using heteroskedasticity)
Am 24.01.2020 um 21:22 schrieb Olasehinde Timmy:
This is great sir! However, I will also suggest that in the SVAR
package
that the SVECM model should be included directly just as in the JMulTi.
The SVEC model type _is_ part of the SVAR addon, so for scripting use
all one needs is the SVAR addon (shipped directly with gretl).
I assume you are talking about the graphical interface provided
specifically by the SVEC_GUI package. Integrating the plotting features
turned out to be easier than I feared, so I have submitted a new version
just now. It will be moderated and -eventually- accessible from within
gretl. (If you want to try it out manually before, you can grab version
0.3 at http://ricardo.ecn.wfu.edu/gretl/staging_fnfiles/SVEC_GUI.gfn)
Please take note of the remark about using it with gretl 2019d in the
help text.
Also, the VAR and the VECM impulse response should be allowed to be
set
to one standard error and any other form that the cholesky ordering.
Here I guess you are talking about the limited built-in features in
gretl, where only Cholesky is possible. This is exactly the reason for
the existence of the SVAR addon.
cheers
sven