[Gretl-users] help on VECM (was "pca" vs "eigengen)

Dear Jan, First of all, you should start a new thread (use a relevant subject line) for questions like this, rather than replying to a message unrelated to your question. To your question, chapters 29 and 30 of the Gretl User’s Guide would be a good place for you to start. I hope this helps, Peter [High Point University logo] Dr. Peter M. Summers | One University Parkway, High Point, NC 27268 Office: 336-841-9650 | Economics Choose to be extraordinary!® [Facebook logo]<https://www.facebook.com/HighPointU>[Twitter logo]<https://twitter.com/HighPointU>[Instagram logo]<http://instagram.com/highpointu>[LinkedIn logo]<https://www.linkedin.com/school/28206> From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Cernohorsky Jan Sent: Wednesday, August 23, 2017 4:59 PM To: Gretl list Subject: Re: [Gretl-users] Principal Components Analysis: "pca" command versus "eigengen" function Dear Gretl users, please could anybody help me how to do VECM /Errot correction model/. I dont know what should I fill and then how can I distinguish between short-term and long-term relationships... Or please if there is any manual how to do it. Thank you for your answer Jan Cernohorsky Sent from my Windows Phone ________________________________ From: Henrique Andrade<mailto:henrique.coelho@gmail.com> Sent: ‎23/‎08/‎2017 22:21 To: Gretl Discussion List (users)<mailto:gretl-users@lists.wfu.edu> Subject: [Gretl-users] Principal Components Analysis: "pca" command versus "eigengen" function Dear Gretl Community, I would like to replicate the "pca" command using "eigengen" function but I can't replicate the "signs behavior" of the component loadings. Sorry if this is a very newbie/dummy question, but I really don't understand the signal inversion in PC1 PC6 and PC7. Please take a look at my code: <hansl> set echo off set messages off open AWM.gdt --quiet list L = CAN COMPR EEN FDD HICP ITN KSR printf "\n########## Gretl's native PCA ##########\n\n" pca L printf "\n########## Alternative PCA (using 'eigengen' function) ##########\n\n" matrix X = {L} matrix C = mcorr(X) matrix Eigenvector = {} matrix Eigenvalue = eigengen(C, &Eigenvector) matrix Proportion = zeros(rows(Eigenvalue), 1) matrix Cumulative = zeros(rows(Eigenvalue), 1) loop i = 1..rows(Eigenvalue) --quiet Proportion[i, 1] = Eigenvalue[i, 1]/sumc(Eigenvalue) Cumulative[i, 1] = sumc(Proportion[1:i]) endloop matrix Eigenvalue = Eigenvalue ~ Proportion ~ Cumulative rownames(Eigenvalue, "1 2 3 4 5 6 7") colnames(Eigenvalue, "Eigenvalue Proportion Cumulative") rownames(Eigenvector, "CAN COMPR EEN FDD HICP ITN KSR") colnames(Eigenvector, "PC1 PC2 PC3 PC4 PC5 PC6 PC7") printf "Principal Components Analysis\nn = %d\n\n", rows(X) printf "Eigenanalysis of the Correlation Matrix\n\n" printf "%15.4f\n", Eigenvalue printf "Eigenvectors (component loadings)\n\n" printf "%10.3f\n", Eigenvector </hansl> Best regards, Henrique Andrade _______________________________________________ Gretl-users mailing list Gretl-users@lists.wfu.edu<mailto:Gretl-users@lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users<https://linkprotect....