Re: [Gretl-users] VAR roots plot
On Mon, 23 Jan 2006, john w wrote:
Thank you Jack. I'll try.
Regarding my point 3. In Gretl VAR module (GUI) deterministic variables
covers trend and exogenous variables?
This is from Gretl help: ...any "deterministic" or exogenous terms ...
In VECM module the terminology is quite clear, but in VAR module a little
bit cunfuses me.
My suggestion for VAR module is:
1. To include one more check option for including a trend (like for a
constant),
The way the source code is now, that would be a little inconvenient,
unless we're willing to add a "--trend" option to rhe "var"
command. I
wouldn't be against it, but adding a trend to a VAR is also very easy now,
and such an option would be a tad gratuitous. Hence, I'm not either
strongly pro nor against such a change. What do other list members think?
2. To replace "Deterministic variables" with
"Exogenous variables".
Any adjective you use in this context is rather arbitrary. The word
"exogenous" may mean at least 4 different things in the econometrics
literature, so my very personal preference is for using it as sparingly as
possible, unless the context makes what I mean very clear. But others may
disagree.
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
jack(a)dea.unian.it
http://www.econ.univpm.it/lucchetti