[Gretl-users] Fwd: Graphing Impulse response for AR(1) univariate model
The OP's message below was sent to gretl-users-owner, a backdoor way
of trying to get the attention of gretl people ;-)
I'm forwarding it to the gretl-users list, where it should have been
posted, and where might be of interest to others.
Here's Jack Lucchetti's reply to the original email:
<jack>
On Tue, 18 Jan 2022, Matt Marcoux wrote:
Hi all,
Looking over the documentation for GRETL, and the IRF function will only
generate an irf after a var/vecm model is estimated.
However, I am looking to graph the irf for an AR(1) model, Here is my code:
#open data file
open ARMAexamples.csv
#univariate time series AR(1)
arma 1 0; X --nc
#matrix ir1 = irf(0,1)
In stata, we are able to do something similar by using this code. Anyone know
how one might go about graphing an IRF for an AR(1) model in gretl?
I am looking to create a graph that looks something like this:
Thanks for taking the time to read this!
You'll get what you want from the ARMA_IRF function package.
</jack>
I'll just add: if the term "function package" doesn't resonate with
anyone, please take a look at the "Packages" item under the Help menu
in gretl's main window.
--
Allin Cottrell
Department of Economics
Wake Forest University