[Gretl-users] Re: Can I estimate a VAR-X in GRETL?
Am 05.10.2020 um 11:29 schrieb Artur Tarassow:
Am 04.10.20 um 19:37 schrieb Riccardo (Jack) Lucchetti:
> In the following example, first the VAR estimation is
replicated;
> then, some restrictions are imposed so that you get what I think you
> want.
>
> <hansl>
> set verbose off
> open AWM18.gdt --quiet
> y = log(YER)
> c = log(PCR)
> i = log(GCR)
>
> list X = y c i
> var 1 X
>
> # re-do VAR as a system
>
> system name=foo
> equation y const X(-1)
> equation c const X(-1)
> equation i const X(-1)
> end system
>
> estimate foo method=sur
>
> # estimate VAR with constraints
>
> system name=foo
> equation y const y(-1)
> equation c const X(-1)
> equation i const X(-1)
> end system
>
> estimate foo method=sur
> </hansl>
>
Hi Jack,
I don't see a difference in these two system blocks. Where are some
constraints? Am I missing something?
Yes ;-)
In the second system the only regressor in the first equation is y(-1)
instead of X(-1). A bit unfortunate that Jack used X as notation which
was already used by Daniel as a different thing.
What I don't get, however, how Jack wants to estimate the IRFs with that.
cheers
sven