Re: [Gretl-users] bug getting the ecm term from a restr vecm vial console??
On Fri, 31 Dec 2010, Artur Tarassow wrote:
I've got a problem obtaining the ECM-term from a restricted VECM
via the
console.
Consider the following example:
----------------------------------------
open denmark
1 <- vecm 2 1 LRM LRY IBO
ecm = $ec
2 <- restrict --full
b[1]=-1
b[3]=0
a[3]=0
end restrict
ecm_r = $ec
ecm = ecm ~ ecm_r
The obtained ECM-term from the restricted model looks weird.
Yes, uninitialized rubbish, I'm afraid. The problem was specific
to VECMs with restrictions on \alpha. This should now be fixed in
CVS (but not yet in snapshots since I'm not able to upload the
snapshots at present; that will follow next week).
Allin Cottrell