Re: [Gretl-users] VEC Question

Hi Jack, t Very nice explanation. I'm sure this point is obscure for most of the applied econometricians.. I really understand the problem but this is exactly the kind of model I wa to explore. I'm now working in writing a general procedure for this kind of estimation using Gauss. If it's work nicely I believe I can translaansente the code to GRETL and post it. ition Cheers Rick.two auxiliary regressions -------------------------------------------------- From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; Sent: Sunday, May 31, 2009 8:46 AM To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] VEC Question > On Fri, 29 May 2009, Ricardo Gonçalves Silva wrote: > >> Hi Sven, >> >> Nice. I need the estimates and the impulses responses. >> >> Thanks >> >> Ricardo > > I'm sorry if this is obvious to you, but since it isn't obvious in general > I thought I'd post it to the list. The difficulty with this from an > econometric viewpoint is that if you want to estimate a model like > > \Delta y_t = \alpha \beta' y_{t-1} + \Gamma y_{t-12} + u_t > > the problem of estimating \beta via ML is not trivial: the VAR > representation of the above is a 13-order VAR which not only contains > "holes", but also other constraints: > > y_t = A_1 y_{t-1} + A_2 y_{t-2} + ... +  A_{13} y_{t-13} + u_t > > where > > (1) A_1 = I + alpha \beta' > (2) A_{i} = 0 for i=2..11 > (3) A_{12} = -A_{13} > > The theoretical construction for the Johansen estimator assumes that the > only constraint to the VAR representation is (1) (ok, deterministic terms > aside), and the code is written on that basis. > > Riccardo (Jack) Lucchetti > Dipartimento di Economia > Università Politecnica delle Marche > > r.lucchetti(a)univpm.it > http://www.econ.univpm.it/lucchetti > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > Nenhum vírus encontrado nessa mensagem recebida. > Verificado por AVG - www.avgbrasil.com.br > Versão: 8.5.339 / Banco de dados de vírus: 270.12.46/2144 - Data de > Lançamento: 05/30/09 17:53:00 > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users