Re: [Gretl-users] vector autoregressive
Ok, so I remembered some things correctly (see below), but indeed had
forgotten the most important part: It's already there! Just push the
"lags" button in the VAR specification dialog and enter your individual
lag structure (comma-separated I think).
See http://lists.wfu.edu/pipermail/gretl-devel/2009-February/001682.html
for the original discussion, already four years ago... time passes
quickly...
It remains to be said that the CLI version is still undocumented at
least in the online help.
hth,
sven
Am 29.04.2013 20:53, schrieb Lee Adkins:
Here is my take. Simple VARs are estimated by least squares applied
to
several equations at once. Since each equation contains the same
variables, there is no gain from system estimation. So, just estimate
them one by one. Use least squares e.g.,
For lags 2, 3 and 6 with an intercept:
ols Y const Y(-2, -3, -6)
Cheers,
Lee
On Mon, Apr 29, 2013 at 12:16 PM, aymen kaabi <kaabiayman(a)gmail.com
<mailto:kaabiayman@gmail.com>> wrote:
thanks sven .
that's exactly what i want .
who understand what i want please describe me how can i do this.
2013/4/28 Sven Schreiber <svetosch(a)gmx.net <mailto:svetosch@gmx.net>>
I think Aymen means to have the same lags in each equation, but
with a
"gappy" structure, for example include the first and third lags,
but not
the second (everywhere). Then the VAR-OLS-estimation would still
apply.
Vaguely I think there was a discussion about this some time
back, but I
don't remember the result. Of course it's still possible to specifiy
this manually as a system and do OLS, but it's not very convenient.
sorry,
sven