Re: [Gretl-users] vector autoregressive
On Tue, 30 Apr 2013, Allin Cottrell wrote:
On Mon, 29 Apr 2013, Sven Schreiber wrote:
> 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.
Thanks for chasing this down, Sven.
The CLI counterpart to the special use of the "Lags" button in the GUI is
appending an option string of the form
--lags=<lags>
e.g.
--lags=1,2,4 # or --lags="1,2,4"
The reason this has never been documented is that it was a quick-and-dirty
hack. It's not nice to have a lag order as the first argument to the "var"
command plus an option to specify lags at the end. The right way to do this
would be to allow use of the name of a matrix in place of the scalar "order"
argument, as in
matrix p = {1,2,4}
var p Ylist
I guess, though, that implementing that functionality has not seemed like a
high priority to date.
OK, it's now implemented in CVS, and the undocumented
"--lags=" option has been removed. Formulations of the
following sort will now work:
var 4 Ylist # still OK, of course
matrix p = {1,2,4}
var p Ylist # give a named vector
var {1,2,4} Ylist # give an inline vector
I'll document this shortly.
In regard to the libgretl API, a second parameter to gretl_VAR
has been inserted, namely a list of lags. The argument can be
given as NULL for regular VAR behavior. Examples of use:
<C>
/* regular VAR specification */
v = gretl_VAR(4, NULL, dataset, OPT_NONE, prn, &err);
/* gappy specification */
int laglist[4] = {3, 1, 2, 4};
v = gretl_VAR(4, laglist, dataset, OPT_NONE, prn, &err);
</C>
"laglist" is in standard gretl list form, with the first
element indicating the number of elements that follow. So the
second VAR will include the three lags 1, 2 and 4.
Allin Cottrell