Re: [Gretl-users] VARs: Historical FEVD and restrictions
On Thu, 12 Feb 2015, Riccardo (Jack) Lucchetti wrote:
On Fri, 13 Feb 2015, Gabriela Nodari wrote:
> Dear Gretl users,
>
> I have two questions concerning VARs:
>
> 1. Is there any built in function in gretl for historical forecast error
> variance decompositions?
Not at the moment, but addinbg this to the SVAR package has been on my to-do
list for a long time. I'll see what I can do in the next few days.
Attention everyone (esp developers): a new version of the SVAR package
which includes historical decomposition is in CVS. Before we give it
official status, I'd like people to test it if possible, especially the
new features (see section 4 of the accompaying pdf document). The example
directory contains a "BlQuah_hd.inp" file with an example, but clearly if
people could try out the new stuff with their own data would be best.
Thanks!
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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