Re: [Gretl-users] VECM estimation
Riccardo Jack Lucchetti schrieb:
the matrices S00 & co. are quite easy to build by combining lists, loop, genr
and matrix functions; all in all, you need moment matrices of residuals. On
Sure, but dealing with sample lengths, lagged differences, exogenous
variables etc. is not fun and it's already implemented in a nice dialog,
so why not use it?
Note that we can already do this via a LR test.
Where is that documented?
While I tested this, I realised that I couldn't reproduce
Johansen's results
with JMulTi; either I'm missing something, or JMulTi's VECM estimation goes
through a different algorithm from ours. We do VECMs as per Johansen's book;
so does PcGive, and I believe there should be no differences between our
results and what PcGive yields.
I have all those programs, do you want me to test/confirm something?
cheers,
sven