Hi,
I have tried to use system, restrict and estimate within a function in order
to perform restricted VAR, passing the series I want to estimate as
parameters as follows:
function varappx(series p_d,series d_d, series r, scalar rho)
"xxx" <- system
equation p_d 0 p_d(-1) d_d(-1) r(-1)
equation d_d 0 p_d(-1) d_d(-1) r(-1)
equation r 0 p_d(-1) d_d(-1) r(-1)
end system
restrict "xxx"
1 - rho*b[1,1] - b[2,1] + b[3,1] = 0
-b[2,2] + b[3,2] - rho*b[1,2] = 0
-b[2,3] + b[3,3] - rho*b[1,3] = 0
end restrict
estimate "xxx" method=fiml
end function
Gretl fails on the system command with "Syntax error in command line".
The same syntax outside the function works just fine.
What am I doing wrong?
With kind regards,
Ofer Cornfeld
TAU