Re: [Gretl-users] SVAR some questions

On Sat, 3 Nov 2012, Pindar wrote: > Update 2: > There is a small bug in the SVAR package when writing the free > parameters into the model (in the last step). > Just run the hansl snippet. Not really a bug. The vector containing the unrestricted parameters only is implicitly defined by the relationship (allow me to use LaTeX) \[ \theta = S \gamma + s \] where $\theta$ contains the total vector of parameters and $\gamma$ the unrestricted ones. Now, in the SVAR package the matrix $S$ is automatically defined via the constraint matrices in implicit form $R \theta = d$ through the relationships $RS = 0$ and $Rs = d$. This means that $S$ is defined up to post-multiplication by an arbitrary invertible matrix. As a consequence, you can change the ordering of the columns of $S$ in any way you want, but of course this will affect the ordering of the elements of $\gamma$; this fact, however, is observationally inconsequential.

> I found 2 typos in the help pdf for the SVAR package, and the > references are only "?" (a bibtex problem): > 1. p10 under 2.4: it's $\frac { n(n-1) }{ 2 } $ restrictions > 2. p. 21 under SVAR.cumulate: Stores into the model Done, thanks. >>> a) In his book on page 367 (section 9.1.3) the Rd matrix (following >>> the notation of Jack) seems to me wrong. It is, there's a typo for the R matrix with the constarints for the A matrix. Element [5,2] of R should be 0 instead of 1. Typical copy-n-paste mishap. I guess you ought to tell Helmut for the next edition of his book. -------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users