Re: [Gretl-users] generalized impulse response

Am 23.02.2010 13:55, schrieb Riccardo (Jack) Lucchetti: Hi all, I found some time to improve my gretl programming skills a little bit and improved the function for the GIRF. I've got still some issues with it. Maybe somebody is interested to help me with it... 1. The results seem to be ok from my perspective. Since I cannot compare them at the moment, maybe someone is interested in checking the code. 2. I would like to add an output describing which is the shock variable and which are the responses for the generated matrix. Something like: Responses of the respective variables to a shock in Variable 1. Period Variable 1 Variable 2 ... 1 0.03 0.9 2. I wrote the function in such a way that it estimates a VAR system and then conducts the GIRF. Since you can have all those additional options like --nc --trend --robust and so on, the function would be quite big to consider all those cases. So, is it maybe reasonable to call the function after one has estimated the VAR by the conventional way and then calling the function? 3. I also would like to improve the plotting. I want to plot the responses of all variables to a specific shock within one graph. For example, if I have three variables which are shocked, the plot command must be "gnuplot 1 2 3 --time-series..." where 1 2 3 denote the corresponding columns of the response matrix. Is there a way to generalize this in such a way that one can type in the corresponding numbers of coulumns one wants to plot in the "function-gui" or just to plot all columns which equals the number of endogenous variables? The code is here: --------------------------------------------------------------- function void Generalized_IRF (list Y "List of variables", scalar order "VAR order", scalar rk "cointegration rank", scalar horizon "Forecast horizon") if rk = 0 var order Y else vecm order rk Y endif matrix A = $compan matrix D= zeros(nelem(Y)*order, nelem(Y)) D[1:nelem(Y),] = $sigma scalar eq= nelem(Y) loop i=1..eq --quiet matrix A$i=A endloop loop i=1..eq --quiet matrix response$i = zeros(horizon,horizon) scalar M = D[$i,$i] matrix O = D[,$i] response$i[1] = transp(M^(-0.5)*transp(A$i)^0*O) #IRF for the first period loop j=3..horizon --quie A$j =A^(j-1) E = M^(-0.5)*A$j*O #Calculate the GIRF response$i[j-1] = transp(E[1:eq,]) response$i=response$i[1:horizon-1,] #Delete last row because it is otherwise '0' endloop response$i = response$i[,1:nelem(Y)] endloop #Print the results loop i=1..eq --quiet print response$i endloop #Plotting. Unfortunately, one has manually to set up the columns to plot, e.g. gnuplot 1 2 .. --time-series loop i=1..eq --quiet gnuplot 1 2 --time-series --with-lines --matrix=response$i --output=display { set title 'Response of variable $i to the respective shock';} endloop end function --------------------------------------------------------------- Best wishes, Artur