[Gretl-users] Re: Can I estimate a VAR-X in GRETL?

On Sun, 4 Oct 2020, Daniel Ventosa-Santaulària wrote: > Hello everyone, > I am being asked to estimate a VAR-X; I would like to do it in GRETL, > but I > don´t really know how. > My understanding of a VAR-X is the following: Suppose 3 variables, X, Y, > and Z, to be included in a VAR(1). > Yes. You can cast the VAR as a system and use the "system" command block. In the following example, first the VAR estimation is replicated; then, some restrictions are imposed so that you get what I think you want. <hansl> set verbose off open AWM18.gdt --quiet y = log(YER) c = log(PCR) i = log(GCR) list X = y c i var 1 X # re-do VAR as a system system name=foo     equation y const X(-1)     equation c const X(-1)     equation i const X(-1) end system estimate foo method=sur # estimate VAR with constraints system name=foo     equation y const y(-1)     equation c const X(-1)     equation i const X(-1) end system estimate foo method=sur </hansl>