[Gretl-users] Re: SVEC restriction

Am 23.04.20 um 22:44 schrieb Olasehinde Timmy: > I want to estimate a five-variable SVECs model with; > Y = Output > T = Tax > R = Interest rate > G = Government expenditure > P = Price > I assumed three theoretical co-integrating vectors; > Y = beta11*G + beta12*P (stabilization rule) > T = beta21*G (solvency) > R = beta31*P (fisher relation) > > I want to however assign the three transitory shocks to T, G, & R > respectively; does this not violate the listing the transitory shocks > last in the Gretl convention? OK, it's very good that now we have a specific example to work with. First, you're right that the variable ordering matters here, so you would have to construct your variable list for example like this: Y P T G R. However, since you want Y and P to appear in the same cointegration relationship, the default normalization for the beta matrix in the VECM then won't work here (because it puts an identity submatrix at the top). So in this case you need to estimate your beta explicitly with your cointegration restrictions imposed before you go to the SVEC. So: You have to use gretl's builtin VECM apparatus and specify your (over-) identifying restrictions on beta. (After initial estimation go to Tests/Linear restrictions, then you have to type in the restrictions in the format explained in the gretl user guide.) To be on the safe side you should explicitly "grab" the estimated beta matrix: In the main window go to Add/Define matrix and type something like "mybeta = $jbeta". OK, so now you can enter the estimated cointegration matrix into the SVEC_GUI window field "coint (j)beta". Either you simply type in gretl's accessor name "$jbeta" (without the quotes) or if that doesn't work for some reason you use your grabbed object "mybeta". Then you can proceed to specify the remaining structural shock restrictions with the pattern matrices. HTH sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/