Re: [Gretl-users] sessions reconstitution [2]
On Tue, 24 Jan 2006, john w wrote:
Thanx for that Allin.
Now I have another problem with exogenous variables. In VAR module (and in
VECM too) there is no possibility to specify number of lags of exogenous
variables. They are allways included with zero lags. I also tried with
creating lags manually and then to include them as exogenous but it's not
working. They do not apper in VAR and VECM modules (This is possible in
OLS). This means that Gretl threats exogenous as deterministics i.e. as
constant and trend i.e. without lags.
Is it possible to do that somehow?
If not, then I am opting for this option as a new feature! This is realy an
usefull thing.
Short-run workaround: define lagged variables using another name. For
example
genr xlag1 = x(-1)
or if you feel adventurous
loop for i=1..4
genr xlag$i = x(-$i)
end loop
In the long run, I still think this could be solved by setting up tools
for handling lists in the GUI interface, but that will have to wait a bit.
For Jack: I tried to do AIC and BIC tests for lag selection in VAR
but the
procedure stops here
matrix mincrit = { 1.0E20 , 1.0E20 }
I think the problem is in numbers in brackets. As I am from Croatia, I tried
to change Regional settings on Italian and English but the procedure still
remains unfinished. I'll try again, maybe I missed something. Do you have an
idea?
Sorry, I was assuming you're running the CVS version. If you're using
Windows, that should work with the nightly snapshot, which is basically
CVS with a 1-day lag. The matrix infrastructure is totally new and
the script cannot work with 1.5.0. OTOH, there is no real need for
matrices in that script, so modifying it to avoid matrix constructs
should be a relatively simple task.
It will be great to include it as a feature in next version.
We'll think about it.
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
jack(a)dea.unian.it
http://www.econ.univpm.it/lucchetti