Re: [Gretl-users] FEVD plot in gretl and GNU R
On Mon, 28 Mar 2011, Grzegorz Konat wrote:
First of all, thank you [Jack] so much for the script - works
perfectly fine for me!
In fact, the FEVD is available internally in gretl. I've now added
an accessor, $fevd, so you can grab it as a matrix.
As far as the issue with different estimates is concerned [...]
In gretl I do:
vecm 2 1 X Y Z --ct
However, when I use R's (urca):
xyz.vecm <- ca.jo(gretldata[, c("X", "Y", "Z")], type =
"trace", ecdet =
"trend", K = 2, spec = "transitory") /for all options in
'type' and
'spec'/
and transform obtained VECM into VAR representation:
vec2var.xyz <- vec2var(xyz.vecm, r = 1)
the system I get has quite different parameters [...]
The model you're estimating in R is equivalent to using the --crt
flag (constant plus restricted trend) in gretl. If you use --crt
you should find that the VAR coefficients agree pretty well.
Allin Cottrell