Re: [Gretl-users] off-topic: how to simulate the VAR correctly
On 08/15/2012 07:36 PM, artur tarassow wrote:
Hi Sven, thanks for the reply.
I think line 20 should be changed as follows:
matrix U = u .+ B + trend*C
Nevertheless, still I am not sure whether this is fully correct...
The point with the constant is a good hint, thanks for this. Indeed, in
gretl the "time" variable starts with value one for the first period of
the UNRESTRICTED sample. So actually, I have to check at which
observation my restricted sample starts and then I have to adjust the
trend accordingly.
Or you could include your own trend term manually into the original VAR
as an exogenous variable, as a substitute for the --trend option. That
way it's guaranteed you're always using the same trend term.
-sven