Re: [Gretl-users] VAR estimation method for the Johansen test
On Thu, 6 Oct 2011, artur bala wrote:
Le 05/10/2011 22:03, Riccardo (Jack) Lucchetti a écrit :
> but I don't think that anyboby has ever complained about the "vecm"
> command being slow, right?
indeed it isn't! but plotting the combined impulse responses with their
confidence error is somewhat slow! Maybe this is more a gnuplot concern
than gretl's and I don't know if it can be fixed!
That's slow because it depends on a complicated bootstrapping
routine. It could maybe be tweaked a little for speed but
basically it's just an inherently time-consuming operation:
the VECM has to be estimated hundreds of times.
Allin Cottrell