Thank you for your expert advice!

It worked but there is still one question...

The results differ from what my coauthor obtained from RATS/GAUSS. What we did was solving non-linear equations rendered by imposing short and long-run restrictions simultaneously. We computed the reduced form VAR and its covariance matrix. Then, we computed and combined the short-run restriction (contemporaneous) matrix and long-run restriction matrices in the Structural Moving Average presentation. Then, the two combined matrices were compared with the covariance matrix to estimate needed coefficients. This part of solving multiple non-linear equations was done by GAUSS.

gretl solutions look great but the C matrix results imply as if short-run restrictions are just superimposed onto the long-run restrictions, leaving the C matrix in your syntax. I was wondering if the gretl syntax does the above process of solving non-linear equations.

Thank you again,

Jay

On Wednesday, August 3, 2016 3:58 AM, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it> wrote:

On Wed, 3 Aug 2016, Jay Ryu wrote:

> Thank you for your prompt response!Below, I copied the gretl syntax
> (restrictions and bootstrap). I also copied the gretl output. And yes, I
> installed the latest version from the gretl site.Sincerely,Jay

From your output, it seems that the order of magnitude of variable 4 is
very different from the other four. This could provoke, in principle,
ugly numerical problems.

Could you try what happens if you multiply variables 1, 2, 3 and 5 by 100?

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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@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti

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