Re: [Gretl-users] VECM: Impulse response analysis for cointegrating relations
On Tue, 23 Mar 2010, Artur T. wrote:
I am just doing an empirical class project on the PPP-UIP
relationship.
After setting up the long-run relationships and imposing
(over-)identifying restrictions on beta, I want to conduct an
impulse-response analysis on the cointegrating relationships in order to
check how long it needs the long-run relationships to get back to its
equilibrium.
Is this possible in gretl? Or has anybody a script for this or a similar
problem?
Use the --full option to the restrict command and you'll get a
complete VECM model from which you can generate impulse responses.
You won't be able to get a bootstrapped confidence interval with
beta restricted, but you can get a point estimate.
open denmark
vecm 2 1 LRM LRY IBO IDE
v2 <- restrict
b[1] + 1 = 0
end restrict --full
Then open v2 in a GUI window and get impulse responses via the
Graph menu.
Allin Cottrell