[Gretl-users] Re: Alpha and beta statistics cannot be saved after VECM estimates

Am 17.04.2019 um 23:39 schrieb Allin Cottrell: > On Wed, 17 Apr 2019, Olasehinde Timmy wrote: > >> Thanks for your reply sir. I will now to explain my situation. >> I read it that we can save the $alpha (speed of adjustment or loading) >> and >> the $beta (long run) matrix after estimating VECM in gretl, and these two >> matrices can be used in the SVEC model estimation. However, I found it >> difficult to save them after estimating VECM in gretl as I keep getting >> error message that "the statistics you requested was not available" > > The "accessors" you need to use after estimating a VECM via the built-in > command are $jalpha and $jbeta (where 'j' indicates "Johansen"), not > $alpha and $beta. Please see the "Function Reference" under the gretl > Help menu for specification of these and other accessors: a complete > list is provided. OK, so we're talking about the prior cointegration/VECM estimate before moving to the SVEC. Tryint it out I'm noticing that it is not really possible in gretl's GUI to save the objects that you get via $jalpha and $jbeta in a script. From the VECM model window (menu Save) one can only save the EC term as series. I wasn't actively aware of this limitation. Now, I think it is possible to estimate the VECM in the GUI, and then write '$jbeta' into the SVEC_GUI interface. But still it seems as if it would be useful to have direct access to these estimates already at the VECM step. thanks sven _______________________________________________ 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/