Re: [Gretl-users] vecm comparisons
Allin Cottrell schrieb:
I've attempted to do this with stata, RATS 6.0 and R. Stata won't
include the seasonals when a restricted constant is included (why
not?)
My guess would be that it's because the seasonals are standard
(uncentered), and since those have a non-zero mean it would contradict
the choice of restricting the constant. (Just a guess though, stata
could of course easily include centered seasonals.)
for VECMs unless you also buy CATS (which I have not done); if
anyone has CATS it would be nice to see output from that.
Are you sure one needs Cats? CATS is very powerful, but estimating a
VECM should also be possible in plain Rats. At least the feature page
(www.estima.com/ratsfeat.shtml) says "Error Correction Models" under the
heading "Vector Autoregressions". And you have the freely available
procedure johmle.src from estima's resource page.
a melange of packages that "sort of" do VECMs, but so far
as I can
see, nothing coherent and fully functional.
Yes ironically it seems that estimating a VECM with an unrestricted
constant isn't possible in R-urca? (I know there's a statistical
justification for this, but still...)
Anyway, I'm particularly interested to see what Eviews and PcGive
do with these models, if anyone can oblige. Thanks in advance!
I could do Eviews 6 and maybe PcGive (older version), but not very soon
-- I wouldn't mind if somebody else beat me to it :-)
cheers,
sven