Re: [Gretl-users] Features request
Am 25.04.2016 um 12:44 schrieb Andreas Zervas:
coding, while adding identities in systems seems to me that it only
extends a capability already present in the FIML estimator. But off
course the programmers know better.
But why do you want to have identities for those estimators where they
are irrelevant, given a situation where the simulation apparatus is not
yet here?
(Sven:)
Personally I'm not a big fan of AB models, because I never saw
a
convincing case where you absolutely had to distribute your
contemporaneous restrictions over two matrices.
(Andreas:)
Answer: I work in fiscal policy issues - there the workhorse is the
Blanchard - Perotti (2002) identification restrictions, that
correspond to an AB model.
Right, I should have thought of that. Still I would be interested to see
a direct comparison between the AB approach there and a competing C
model doing the same thing. (It's a bit off-topic here, but if you have
literature pointers they would be welcome.)
cheers,
sven