Re: [Gretl-users] VECM: Impulse response analysis for cointegrating relations
Allin Cottrell schrieb:
On Tue, 23 Mar 2010, Artur T. wrote:
> I am just doing an empirical class project on the PPP-UIP relationship.
> After setting up the long-run relationships and imposing
> (over-)identifying restrictions on beta, I want to conduct an
> impulse-response analysis on the cointegrating relationships in order to
> check how long it needs the long-run relationships to get back to its
> equilibrium.
>
> Is this possible in gretl? Or has anybody a script for this or a similar
> problem?
>
Use the --full option to the restrict command and you'll get a
complete VECM model from which you can generate impulse responses.
You won't be able to get a bootstrapped confidence interval with
beta restricted, but you can get a point estimate.
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.
Allin Cottrell
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Hey Allin,
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).
Best,
Artur