Dear Allin,
Thanks for your kind help. The results do not change too much.
Meanwhile, I have noticed that when estimating the var via menu, when I specify the exogenous variables, it considers only the contemporaneous value of the exogenous observable. And it is not possible to specify lags.
I have checked for the Svar function and I guess it takes only the contemporaneous value as well.
Is it possible to estimate a var with lagged exogenous variables?
Thanks again for your time and attention.
Gabriela
On Mon, Jun 17, 2013 at 7:30 AM, Gabriela Nodari
<gabriela.nodari@gmail.com> wrote:
> Yes, the code works! but I'm not sure the result is correct. [...]
> here is the complete code:
>
> D=max(abs(IP))
> tcount=0
> y = 8 13 12 1 2 3
> y1 = 8 13 12 1 2
> x = 3
>
> #MODEL 1
> var 6 y --silent
> matrix Ac = $compan[1:6,]
> matrix U = $uhat. +$coeff[1,]
> #Initial values
> matrix y0 = {var1, var2, var3, var4, var5, var6}[1:6,]
>
> #MODEL 2
> var 6 y1; x --silent
> matrix Ac1 = $compan[1:5,]
> matrix U1 = $uhat.+coeff[1,]
You need to include the effect of var6 in your MODEL 2 simulation.
After $coeff[1,] (the intercept) you should add
$coeff[7,] .* {x}[7:]
--
Allin Cottrell
Department of Economics
Wake Forest University
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