Re: [Gretl-users] vecm question
> Hi all,
>
> I'm trying to use gretl's vecm command. The following statement :
>
> vecm 2 1 x1 x2
>
> gives me the following output :
>
> Cointegrating vector :
> x1(-1) b1
> x2(-1) b2
>
> Equation 1: d_x1
> const theta
> d_x1_1 g1
> d_x2_1 g2
> EC1 alpha
>
> Given the above output, I'd expect the predicted value d_x1_hat for d_x1 to be
:
> d_x1_hat = theta + g1 d_x1_1 + g2 d_x2_1 + alpha ( b1 x1(-1) + b2 x2(-2) )
It should be "alpha (b1 x1(-1) + b2 x(-1))", but I suppose it was just a
typo. Other than that, I can't see anything obviously wrong.
This was a typo, indeed.
> However, applying the above formula yields crazy results.
Surely, I
> must be overlooking something. Any hint ?
What do you mean exactly by "crazy results"? Can you be more specific? Can
you reproduce your problem with, eg, the "denmark" data set supplied with
gretl?
Thanks, the issue is solved ! I hadn't supplied Gretl with the same
data I had supplied my spreadsheet with.