Re: [Gretl-users] VECM estimation
Sven Schreiber schrieb:
Allin Cottrell schrieb:
> On Thu, 17 Aug 2006, john w wrote:
> At present we have the ability to test homogeneous restrictions on beta,
> the cointegrating vector(s), only -- either using the GUI or the
> "restrict" command following a vecm. Thanks to a pointer from Sven I
> now have a reasonable idea of how to proceed with adding more general
> tests on both beta and alpha (the "adjustments" vector), at least in
> principle. But it's a fairly substantial task.
>
Yes I also think it would be a fair amount of work.
What is not so difficult is to test homogeneous restrictions on alpha,
e.g. for weak exogeneity tests. Once I'm familiar with the new matrix
programming facilities in gretl, I might be able to contribute that
function.
I'm also interested in replicating the functionality of pcgive in terms
of general cointegration restrictions, and maybe I could help with
prototyping (I use numpy -- numerical python). But I don't have time
before October.
On second thought, I think general linear restrictions (as in 4.4 of the
paper) are normally enough, although I occasionally needed nonlinear
restrictions in the past as well. But the linear stuff is also what
Eviews does, and is probably a more realistic goal in the medium term.
I guess the nice matrix and scripting capabilities of gretl would also
be enough to make that work, so I could help with the prototype. It
would be useful, however, if one could access some preliminary
variables/matrices from the Johansen procedure (like S00, S11 etc.) from
a script, similar to what $jalpha apparently does now. I mean not
officially and not documented, but just so I can help without starting
from scratch. Would that be easy to do for you Allin, or would it just
shift workload from me to you?
And how actually does it work now to test the homogeneous restrictions
you mentioned, e.g. via GUI? I wasn't obvious to me.
Thanks,
Sven