[Gretl-users] Re: Restricted vars
On Wed, 18 Nov 2020, Adam Elderfield wrote:
Hi All!
Just wondering if it's possible to estimate restricted vars via EGLS as
proposed by Lutkephol (New introduction to time series analysis)? That
is, can you feed a restriction matrix to a var estimation?
Or would you need to estimate the system with SUR and the system command?
Basically, SUR estimation is entirely possible, provided your restrictions
are not too weird (zero restrictions are absolutely ok). See this thread:
https://gretlml.univpm.it/hyperkitty/list/gretl-users@gretlml.univpm.it/t...
I'm not sure whether SUR and EGLS are equivalent in this context. I
suspect they are, but I'm not 100% sure. Sven?
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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