Re: [Gretl-users] Lags (or not) of restricted terms in VECM/coint2
On Sat, 15 Apr 2017, Sven Schreiber wrote:
Hi,
I cannot find the answer in the docs whether restricted exogenous terms in
the 'vecm' or 'coint2' commands are included with a lag or as-is. This
concerns the "rxlist" or "zlist" arguments to the commands.
OK, that should be in the docs, but one nice thing about open-source
software is that one can always quiz the source, either directly or
via the web:
https://sourceforge.net/p/gretl/git/ci/master/tree/lib/src/var.c
There we find the following comment, under the function
VECM_fill_Y():
"There's room for debate here (?) over whether we should
use the current value or the first lag of restricted
exogenous variables. But using the current value agrees
with Ox. See also VAR_set_sample()."
And the following code indicates fairly clearly that we use the
current value.
Allin