Re: [Gretl-users] Restrictions in VECM model...
Am 06.01.2009 18:34, Mariusz Doszyn schrieb:
Hello...
I've got VECM model with [3x3] matrix Pi=alpha*beta' that looks as
follows: [-1, a1*b, a2*d; 0, b-1, 0; 0, 0, d-1]. a1, b, a2 and d are
parameters. I was thinking about imposing restrictions for elements that
equals 0. As I'm aware it's not possible to put such restrictions on
matrix Pi (or am I wrong?). It's better to find sensible 'alpha' and
'beta' in this case (but I don't have any ideas yet )?
With regard,
Mariusz
AFAICS this is a very strange Pi-matrix because it's triangular with
non-zero diagonal elements. In general that would mean that it has full
rank, so there is no cointegration, therefore it's not really a VECM
model but "just" a reparameterized levels-VAR.
Maybe it would be helpful if you could explain why you are using a VECM
model here and why you have this structure of the Pi matrix. Normally
the interpretation is in terms of the alpha and beta matrices.
cheers,
sven