Am 29.10.2024 um 15:43 schrieb Olasehinde Timmy:
>
> Yes!
> Both names are welcome.
> Thanks for the update, sir.
> I already noticed the update in the current version of Gretl.
>
> However, we hope to see Gretl doing restrictions on the lags in VAR/
> VECM just as in JMulTi and Eviews and also possibly estimating the
> parameters with 2stages, 3stages, gls, and ols just like in JMulTi.
>
As a partial answer, notice that with the native Choleski-VAR
functionality in gretl you can indeed leave out some lags. This is
similar to what Eviews offered in the past (would need to check the
current state of affairs there). However, this does not allow you to
have different lag structures in the individual equations, and also it
is not supported by the SVAR addon.

If you want to restrict/shrink the parameter space more generally, I
would also recommend the Bayesian approach of the BVAR package (by Luca
Pedini and a little bit also by myself) as a practical tool. This is
still work in progress, but was recently updated to version 0.4 and
offers several popular choices of priors. In terms of shock
identification, only Choleski is supported so far - this will hopefully
change and be extended in the medium term.

cheers

sven
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