Dear all,

 

I read the User Guide of Gretl and I only have found explanation on how to set linear restrictions on alpha and beta (jointly or not). However, I couldn't find how to set linear restrictions on the coefficients of the lagged differences of the endogenous variables. 

 

It would be great if you suggest me any pdf or advise about how to do this.

 

Hi,

you can restrict certain lags to zero in a 'var' command (see the doc there), but I'm not sure if it also works in a VECM context.

If you need more general restrictions, you would have to take a two-step approach AFAIK: First estimate the cointegration coefficients (beta) and save the error-correction term(s) as one or multiple time series, then set up a simultaneous equation system in differences and throw in the ECTs. In that system you should be able to apply restrictions on the dynamics. Caveat: I guess it will be difficult to get gretl to recognize the ECTS as lagged endogenous terms, so things like forecasting will not work correctly out of the box.

cheers

sven