Re: [Gretl-users] vector autoregressive
I think Aymen means to have the same lags in each equation, but with a
"gappy" structure, for example include the first and third lags, but not
the second (everywhere). Then the VAR-OLS-estimation would still apply.
Vaguely I think there was a discussion about this some time back, but I
don't remember the result. Of course it's still possible to specifiy
this manually as a system and do OLS, but it's not very convenient.
sorry,
sven
Am 28.04.2013 20:54, schrieb Summers, Peter:
Aymen,
If your lags differ in each equation, it's not really a VAR. However
you could specify the equations separately and estimate them as a SUR
model. Have a look at the "system" command.
I hope this helps,
PS ________________________________________ From:
gretl-users-bounces(a)lists.wfu.edu [gretl-users-bounces(a)lists.wfu.edu]
on behalf of aymen kaabi [kaabiayman(a)gmail.com] Sent: Sunday, April
28, 2013 12:34 PM To: Gretl list Subject: [Gretl-users] vector
autoregressive
good evening
i have a problem with gretl_var.
first with the function ar_model i can specify the lags
FOR EXAMPLE: Yt= Yt-3 + Y t-2 + Yt-6 +CONST but with gretl I CAN'T
i just enter the lag order .
HOW can i specify the lags .
my project work personalized lags please answer me .
thanks for all
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