Re: [Gretl-users] Restrict command after VECM
On 04/19/2012 05:55 PM, Allin Cottrell wrote:
On Thu, 19 Apr 2012, Artur Tarassow wrote:
> Since some while it is possible to do use the name of a variable for the
> 'restrict' command after OLS. But this is not the case for the VECM
> command. Is there any reason to handle this case differently?
I thought the only reason is that nobody has implemented it, but Allin
seems to disagree a little:
Yes: typically a restriction on a system such as a VECM will
need two "subscripts" on the coefficients (although in the
case you give, of a VECM with a single cointegrating relation,
that happens not to apply). I guess we could support names in
that context but it doesn't seem as "natural" as in the
straightforward single-equation case.
Hm, isn't it the case already that a single index can be used here to
mean "variable number x in all cointegration relations"?
I tend to think that Artur's request is perfectly valid, but I don't
think the example he's giving is the top most typical hypothesis. In
other words, if some syntactic sugar were to be added to the
Vecm-restrict apparatus, I think it would be worthwhile to also cover
some other use cases.
At the risk of sounding spoiled, some of those could be:
* test of weak exogeneity of some variable, zero row in alpha: 'a[myvar]=0'
* test of whether variable number x is stationary, given the
cointegration rank (one appropriate unit vector in beta, and that
variable not appearing in the other relations)
etc.
I wonder whether there would be some way to implement this as a
function/add-on/etc. without touching the C source?
cheers,
sven