[Gretl-users] Re: Can I estimate a VAR-X in GRETL?

On Sun, 4 Oct 2020, Daniel Ventosa-Santaulària wrote: > Hello everyone, > I am being asked to estimate a VAR-X; I would like to do it in GRETL, but I > don´t really know how. > My understanding of a VAR-X is the following: Suppose 3 variables, X, Y, > and Z, to be included in a VAR(1). > > Yt = a1 Yt-1 + a2 Xt-1 +a3 Zt-1 > > Xt = a4 Yt-1 + a5 Xt-1 +a6 Zt-1 > > Zt = a7 Yt-1 + a8 Xt-1 +a9 Zt-1 > > Suppose further that Y is a macro variable from, say, the US, whilst X and > Y are macro variables from Mexico. I would like to assume that Y affects X > and W, but is not affected by X, and Y. Thus, what I need to do is to > restrict a2 = a3: > > Yt = a1 Yt-1 > > Xt = a4 Yt-1 + a5 Xt-1 +a6 Zt-1 > > Zt = a7 Yt-1 + a8 Xt-1 +a9 Zt-1 > > Therefore, Y has its own AR equation. This is not exactly an exogenous > variables as defined in the GRETL VAR command. At most, what I can do with > GRETL command is: > > Xt = a4 Yt-1 + a5 Xt-1 +a6 Zt-1 > > Zt = a7 Yt-1 + a8 Xt-1 +a9 Zt-1 > > But then I lose Y's equation. I could estimate separately the first > equation and then the other two in a regular VAR, but I was wondering if I > can directly estimate the VAR with the three variables and restrict two > specific parameters, as in the first set of equations. My final goal is to > estimate the IRF Yt -> Xt. Is this feasible in GRETL? Yes. You can cast the VAR as a system and use the "system" command block. In the following example, first the VAR estimation is replicated; then, some restrictions are imposed so that you get what I think you want. <hansl> set verbose off open AWM18.gdt --quiet y = log(YER) c = log(PCR) i = log(GCR) list X = y c i var 1 X # re-do VAR as a system system name=foo equation y const X(-1) equation c const X(-1) equation i const X(-1) end system estimate foo method=sur # estimate VAR with constraints system name=foo equation y const y(-1) equation c const X(-1) equation i const X(-1) end system estimate foo method=sur </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------_______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/