Re: [Gretl-users] vector autoregressive

Ok, so I remembered some things correctly (see below), but indeed had forgotten the most important part: It's already there! Just push the "lags" button in the VAR specification dialog and enter your individual lag structure (comma-separated I think). See http://lists.wfu.edu/pipermail/gretl-devel/2009-February/001682.html for the original discussion, already four years ago... time passes quickly... It remains to be said that the CLI version is still undocumented at least in the online help. hth, sven Am 29.04.2013 20:53, schrieb Lee Adkins: > Here is my take. Simple VARs are estimated by least squares applied to > several equations at once. Since each equation contains the same > variables, there is no gain from system estimation. So, just estimate > them one by one. Use least squares e.g., > > For lags 2, 3 and 6 with an intercept: > > ols Y const Y(-2, -3, -6) > > Cheers, > Lee > > > On Mon, Apr 29, 2013 at 12:16 PM, aymen kaabi <kaabiayman(a)gmail.com > <mailto:kaabiayman@gmail.com>> wrote: > > thanks sven . > > that's exactly what i want . > > who understand what i want please describe me how can i do this. > > > > 2013/4/28 Sven Schreiber <svetosch(a)gmx.net <mailto:svetosch@gmx.net >> > > 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 > > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users