Dear fellow gretl users,
I was wondering whether the impulse response functions for VEC models
in gretl are calculated in levels or in first differences? According to
the gretl guide, IRF are defined as the partial derivative of the
l.h.s. dependent variable divided by the partial derivative of an
orthogonalised shock. Since the VEC is represented similar to a VAR in
first differences (see eq. 27.2 in the gretl guide), with a vector
containing the variables in first differences on the l.h.s. and with an
error correction term containing in levels in the r.h.s. of the VEC
model equation, one might be lead to think that the impulse response
would be given in first differences. Am I correct in assuming that the
VEC is transformed to a VAR in levels (see eq. 27.1) prior to the
calculation of the IRF, though, so that the responses are in levels
also? (all of this is assuming that one puts the variables that enter
the model in levels in the GUI dialogue)
Thanks for your help and for writing such an amazing piece of software!
Stefan