Re: [Gretl-users] vecm comparisons

Hello all, I'd like to request some help with comparison of VECM output across programs, if people happen to have copies of the relevant proprietary software. I'm interested in a couple of models from Johansen's VECM book. In gretl-speak these are: open denmark.gdt vecm 2 1 LRM LRY IBO IDE --rc --seasonals vecm 2 1 LRM LRY IBO IDE --seasonals That, we use the Danish data from Johansen's book and estimate a couple of VECMs, one with a constant restricted to the cointegrating space and one with an unrestricted constant (gretl's default), and both including (orthogonalized) seasonal dummies. (In gretl, the leading "2" is the lag order, which comes down to 1 in differences, and the "1" is the cointegration rank.) I've attempted to do this with stata, RATS 6.0 and R. Stata won't include the seasonals when a restricted constant is included (why not?) but it'll do the other model. RATS, it turns out, is useless for VECMs unless you also buy CATS (which I have not done); if anyone has CATS it would be nice to see output from that. R offers a melange of packages that "sort of" do VECMs, but so far as I can see, nothing coherent and fully functional. Anyway, I'm particularly interested to see what Eviews and PcGive do with these models, if anyone can oblige. Thanks in advance! Well, one more thing: for fuller comparison, it might be nice to have the output from other software for the two models above without the seasonals: vecm 2 1 LRM LRY IBO IDE --rc vecm 2 1 LRM LRY IBO IDE And yet one more thing: gretl automatically prints the cross-equation covariance matrix. If you could get that out of other software I'd like to see it too. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users