Re: [Gretl-users] New Windows snapshot - Again....
Hi Jack,
Of course it is possible. VARs are rather trivial parametric models
for
which
standard inference methods apply (at least in the stationary case --- see
below). My point was, general exclusion tests are often pointless in VARs,
since these models don't aim at a structural representation of the data,
but
only at encapsulating conveniently their time-series properties. If you
feel
like carving out variables and/or lags, you're much better off with a
simultaneous equations system.
Yes, I remember. we were already talking about this. And for now the best
thing will be to leave F tests of zero restrictions for endobenous variables
as they are now but to add "Omit" option for deterministics, seasonals and
exogenous variables.
There is a simillar option in JMulTi. It's an LR (likelihood ratio) test. In
"Subset restrictions" pannel you can impose zero restrictions on
coefficients before estimating the model.
> Are Granger tests doable for VECMs ? As tere are no F tests
in VECM
> output. (my question excludes testing beta)
This brings back a point you raised some time ago (see
http://ricardo.ecn.wfu.edu/pipermail/gretl-users/2006-January/000326.html
and
subsequent messages). I had a look at JMulTi. They do Granger causality
tests
in cointegrated systems by using a very ingenious method, proposed by
Lütkepohl (usurprisingly) and Dolado, that bypasses most of the inferential
difficulties by estimating a levels VAR of higher order than necessary.
It's
not difficult to do the same in a script, I think (but I have to dig a
little
deeper into this).
Ok. If it's possible it will be great to have it.
If you remember we were talking about Forrecast error variance decompositin
graph and you said that it's possible to produce it.
Ok. For example, FEVD for variable X can be produced by lines (in time) of
Y,Z and T variables. On x-axis could be periods(horizon) and on y-axis
decompositions (up to a max number of 100).
What do you say?
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