Re: [Gretl-users] VARs: Historical FEVD and restrictions
Jack,
I ran your example script the other day & it worked beautifully! I haven't had
time to play around with it more than that so far.
Many thanks for this!
PS
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On
Behalf Of Riccardo (Jack) Lucchetti
Sent: Tuesday, February 24, 2015 10:59 AM
To: Gretl list
Subject: Re: [Gretl-users] VARs: Historical FEVD and restrictions
On Mon, 16 Feb 2015, Riccardo (Jack) Lucchetti wrote:
On Thu, 12 Feb 2015, Riccardo (Jack) Lucchetti wrote:
> On Fri, 13 Feb 2015, Gabriela Nodari wrote:
>
>> Dear Gretl users,
>>
>> I have two questions concerning VARs:
>>
>> 1. Is there any built in function in gretl for historical forecast
>> error variance decompositions?
>
> Not at the moment, but addinbg this to the SVAR package has been on
> my to-do list for a long time. I'll see what I can do in the next few days.
Attention everyone (esp developers): a new version of the SVAR package
which includes historical decomposition is in CVS. Before we give it
official status, I'd like people to test it if possible, especially
the new features (see section 4 of the accompaying pdf document). The
example directory contains a "BlQuah_hd.inp" file with an example, but
clearly if people could try out the new stuff with their own data would be best.
Thanks!
I've received no feedback whatsoever on the new features, which can either be a very
good sign or a very bad one.
The new version of the SVAR addon is now available to everybody using a CVS version of
gretl or a windows snapshot. In order to grab it, you
1) go to the help menu, select "check for addons", and update SVAR
2) in the "examples" subdir, you should now find a "BlQuah_hd.inp"
file,
which exemplifies historical decomposition using the famous
Blanchard-Quah dataset
3) the relevant info is now section 4 of the SVAR.pdf file, which is in
the usual place.
Please test!
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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