Hi,
I am estimating a restricted VECM using the --jitter option. I run the
estimation several times using a loop function with the --progressive
option. I want to calculate the average likelihood value of the
restricted model, the average p-value for the LR test on the imposed
over-identifying restrictions and the average beta matrix. Applying the
loop only to the first two values works fine. But running the loop also
for the beta matrix results in a crash. Even if this option is not
supported for a matrix, gretl should not crash.
The basic loop looks like this:
----------
vecm 1 1 X
genr llB = $lnl
loop 100 --progressive --quiet
restrict --jitter
b[1,1]=0
end restrict
genr rlnl = $rlnl
genr LRB = pvalue(X, df, 2*(llB-rlnl))
matrix beta = $jbeta
print rlnl LRB
print beta
endloop
----------
Best wishes,
Artur