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

On Mon, 5 Oct 2020, Sven Schreiber wrote: > What I don't get, however, how Jack wants to estimate the IRFs with that. That would take a bit more work. Assuming one wants a recursive identification scheme, here's a way; of course, computing confidence bands would involve a little extra work, because you'd have to bootstrap the system. PS: actually, I'm beginning to think that, given that I find myself writing functions like the one below over and over again, we may add a similar function to our native repertoire. <hansl> function matrix IRF(matrix A, matrix C, scalar h) n = rows(C) matrix ret = {} matrix M = C loop i = 1 .. h --quiet ret = ret | vec(M)' M = A * M endloop return ret end function set verbose off open AWM18.gdt --quiet h = 40 set horizon h y = log(YER) c = log(PCR) i = log(GCR) list X = y c i var 1 X --quiet ii = 2 jj = 1 U_irf = irf(ii,jj) # 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 moo = IRF($sysA, cholesky($sigma), h) R_irf = moo[, ii + (jj-1)*3] PLT = U_irf ~ R_irf ~ seq(0,h-1)' cnameset(PLT, "unrestricted restricted horizon") gnuplot --matrix=PLT --output=display --single-yaxis --with-lines </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/