Erhanfadli Azrai schrieb:
Hello everyone.
Can the command 'system' and 'estimate' be used for structural var
equation? or alternatively, could anyone point me to a manual or
write-up to do svar using gretl?
Unless there have been secret additions recently, SVARs are not
implemented yet in gretl. To my knowledge there are no SVAR guides for
gretl.
I've read somewhere that i can do this in JMulti, but i prefer to
code
in gretl.
Yes Jmulti is great for SVARs. With respect to coding this yourself in
gretl: I'd say it's reasonable if you only have just-identified shocks.
However, you're likely to want to do more, so I really would recommend
Jmulti. What you could do is to port the SVAR code from Jmulti to gretl,
that would actually be a great thing to do. The jmulti backend code is
written in Gauss and is open source, you can browse it on sourceforge
just like the gretl source, see jmulti.de for details. (The Gauss
runtime engine is obviously not open source, and one of the problems is
that it can happen that you get different results on Linux and Windows,
it happened to me...)
cheers,
sven