Re: [Gretl-users] vector autoregressive

I think Aymen means to have the same lags in each equation, but with a "gappy" structure, for example include the first and third lags, but not the second (everywhere). Then the VAR-OLS-estimation would still apply. Vaguely I think there was a discussion about this some time back, but I don't remember the result. Of course it's still possible to specifiy this manually as a system and do OLS, but it's not very convenient. sorry, sven Am 28.04.2013 20:54, schrieb Summers, Peter: > Aymen, > > If your lags differ in each equation, it's not really a VAR. However > you could specify the equations separately and estimate them as a SUR > model. Have a look at the "system" command. > > I hope this helps, > > PS ________________________________________ From: > gretl-users-bounces(a)lists.wfu.edu [gretl-users-bounces(a)lists.wfu.edu] > on behalf of aymen kaabi [kaabiayman(a)gmail.com] Sent: Sunday, April > 28, 2013 12:34 PM To: Gretl list Subject: [Gretl-users] vector > autoregressive > > good evening > > > i have a problem with gretl_var. > > first with the function ar_model i can specify the lags > > FOR EXAMPLE: Yt= Yt-3 + Y t-2 + Yt-6 +CONST but with gretl I CAN'T > i just enter the lag order . > > HOW can i specify the lags . > > my project work personalized lags please answer me . > > > thanks for all > > _______________________________________________ Gretl-users mailing > list Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users