Re: [Gretl-users] VECM alpha restrictions
Hi,
I'm not sure it was a bug. Of course it's all just a matter of convention, but
given that for beta-indexing in this case we also had the CI relation number as the
leading index, there's a case to do that for alpha, too, which was the old behavior.
Otherwise it may get a little confusing to keep the indexing straight (now after your
change for alpha its standard matrix index-order, but not for beta, right?).
-sven
-------- Original-Nachricht --------
Datum: Mon, 10 Jan 2011 14:01:52 -0500 (EST)
Von: Allin Cottrell <cottrell(a)wfu.edu>
An: Gretl users <gretl-users(a)lists.wfu.edu>
Betreff: [Gretl-users] VECM alpha restrictions
Hello all,
Following from a bug report from Artur T, I've been examining the
handling of restrictions on the \alpha matrix in a VECM. Among
other things, I noticed that we've had the interpretation of the
row and column indices reversed, in the context of a restriction
such as
a[3,1] = 0
That is, we've read this as EC-term 3, equation 1, which is in
fact \alpha_{1,3}. This probably happened because for internal
purposes we represent the restriction in terms of a vector that
gets multiplied into vec(\alpha'). Nonetheless, it seems
like a definite bug to me, and it's now corrected in CVS (and
duly noted in gretl's backward-incompatibility log).
>From now on an expression such as "a[3,1]" in a VECM restriction
will be read as specifying \alpha_{3,1}, the coefficient on the
first EC term in the third equation.
Allin Cottrell
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