Re: [Gretl-users] VECM estimation
On Wed, 30 Aug 2006, Sven Schreiber wrote:
On second thought, I think general linear restrictions (as in
4.4 of the paper) are normally enough...
I guess the nice matrix and scripting capabilities of gretl
would also be enough to make that work, so I could help with
the prototype. It would be useful, however, if one could
access some preliminary variables/matrices from the Johansen
procedure (like S00, S11 etc.) from a script, similar to what
$jalpha apparently does now.
That shouldn't be too hard to arrange, but it'll take me a day
or two as I'm pressed by other things right now.
And how actually does it work now to test the homogeneous
restrictions you mentioned, e.g. via GUI? I wasn't obvious to
me.
I need to check my own sample scripts and Hamilton's book again;
I'll do that tomorrow and post again. There should be an
example of this sort of thing in the manual (assuming it
actually works at present!).
Allin.