[Gretl-users] Re: SVAR Restriction
Am 26.12.2023 um 18:20 schrieb Olasehinde Timmy:
Dear Prof,
I am aware that the code 'SVAR_restrict(&x, "C", 1, 2, 0)' is to
inform Gretl of the nature of the restriction to estimate. I also know
that this has to be repeated for several restrictions like in the
model. However, I consider this to be rigorous especially when a large
matrix is involved. Although, I know how a matrix can be created and
used with the SVAR GUI, I don't know how it can be used with the
SVAR_restrict(&x, ) function.
Please, I need to be enlighten if this is possible or if I have to do
the imputation for each restriction.
Hello,
the short answer is no, it's currently not possible. We have always
thought it's not a big problem, since you typically use copy&paste. But
OK, I can see that when you have perhaps n=6 or so, then the needed
lines look a bit exaggerated.
I guess there are two things that would be desirable:
First, to specify the entire matrix as with the GUI as you requested.
(As a secret, you could in principle use the GUI_SVAR function also in a
script. But that is not recommended, as it is not designed for that, and
that's why it's not documented.) Technical note: Passing the entire
matrix to SVAR_restrict as an alternative argument might be implemented
using the very recent "numeric" meta datatype -- this will need some
testing but sounds like worth trying.
Secondly, I guess it would be nice to specify the restrictions not just
by their index positions in the matrix, but by using the shock names (if
they exist) and the variable names, like we recently do with set
identification restrictions in SVAR_SRplain, for example. This might
require a new function as an alternative to SVAR_restrict, let's see.
thanks
sven
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