Re: [Gretl-users] VECM: Impulse response analysis for cointegrating relations

On Wed, 24 Mar 2010, Artur T. wrote: Allin: >> open denmark >> vecm 2 1 LRM LRY IBO IDE >> v2 <- restrict >> b[1] + 1 = 0 >> end restrict --full >> >> Then open v2 in a GUI window and get impulse responses via the >> Graph menu. >> > Sorry, I think I did not explain it correctly. > > I know that I can restrict the model and run the impulse response > analysis. What I was actually asking for is the so called persistence > profile approach proposed by Pesaran/Shin ("Cointegration and speed of > convergence to equilibrium" 1996 in Journal of Econometrics). > > There they shock the cointegrating relations directly and not the > individual variables (as I understood it). > Well, you've got the companion matrix ($compan) so you should be able to do that if you wish. Allin _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users