Re: [Gretl-users] structural VARs
On Mon, 20 Aug 2007, Summers, Peter wrote:
Do any of you have any experience using gretl for structural VAR
work?
Structural VARs are not yet supported as such, although I think
Jack Lucchetti wrote a gretl script that headed in that direction.
Hopefully, Jack will be back on the list before long, and he can
surely offer more help than I.
On a related note, is there a way to get impulse responses from
a non-choleski decomposition? I'm thinking of something along
the lines of the "impulse" command in RATS: impulse(vcv=blah)
... where 'blah' is my covariance matrix.
Not via a basic command, at this point. However, you can get the
companion matrix from a VAR, and you can get the contemporaneous
covariance matrix, and you have a lot of matrix manipulation
tools.
To get the companion matrix:
* estimate a VAR
* matrix A = $compan
(But in gretl prior to today's changes in CVS, and todays' Windows
snapshot, "matrix A = $coeff" -- now $coeff gets you the regular
coefficient matrix.)
To get the contemp covariance:
matrix V = $vcv
Allin Cottrell