Re: [Gretl-users] Restrict command after VECM

On 04/19/2012 05:55 PM, Allin Cottrell wrote: > On Thu, 19 Apr 2012, Artur Tarassow wrote: > >> Since some while it is possible to do use the name of a variable for the >> 'restrict' command after OLS. But this is not the case for the VECM >> command. Is there any reason to handle this case differently? I thought the only reason is that nobody has implemented it, but Allin seems to disagree a little: > Yes: typically a restriction on a system such as a VECM will > need two "subscripts" on the coefficients (although in the > case you give, of a VECM with a single cointegrating relation, > that happens not to apply). I guess we could support names in > that context but it doesn't seem as "natural" as in the > straightforward single-equation case. > Hm, isn't it the case already that a single index can be used here to mean "variable number x in all cointegration relations"? I tend to think that Artur's request is perfectly valid, but I don't think the example he's giving is the top most typical hypothesis. In other words, if some syntactic sugar were to be added to the Vecm-restrict apparatus, I think it would be worthwhile to also cover some other use cases. At the risk of sounding spoiled, some of those could be: * test of weak exogeneity of some variable, zero row in alpha: 'a[myvar]=0' * test of whether variable number x is stationary, given the cointegration rank (one appropriate unit vector in beta, and that variable not appearing in the other relations) etc. I wonder whether there would be some way to implement this as a function/add-on/etc. without touching the C source?

cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users