Re: [Gretl-users] VAR estimation method for the Johansen test
On Thu, 6 Oct 2011, Allin Cottrell wrote:
On Thu, 6 Oct 2011, artur bala wrote:
> Le 05/10/2011 22:03, Riccardo (Jack) Lucchetti a écrit :
>> but I don't think that anyboby has ever complained about the
"vecm"
>> command being slow, right?
> indeed it isn't! but plotting the combined impulse responses with their
> confidence error is somewhat slow! Maybe this is more a gnuplot concern
> than gretl's and I don't know if it can be fixed!
That's slow because it depends on a complicated bootstrapping routine. It
could maybe be tweaked a little for speed but basically it's just an
inherently time-consuming operation:
the VECM has to be estimated hundreds of times.
Hmmm, this case may make it worthwhile. The speedup I had in mind was to
coalesce the two preliminary regressions into one. Those regressions have
the same explanatory variables, which are the lagged differences (plus
maybe some extra stuff). For a large number of lags, the matrix that has
to be inverted may be in the order of 20-30 rows/columns, so doing it
twice may make for a nice speedup. Even if we managed to shave off a 10%
of the total CPU time, that may be noticeable when bootstrapping.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti