RE: VAR dialog (was Re: [Gretl-users] sessions reconstitution [2])

From: Allin Cottrell <cottrell(a)wfu.edu&gt; Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; To: jack(a)deanovell.unian.it, Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; Subject: VAR dialog (was Re: [Gretl-users] sessions reconstitution [2]) Date: Tue, 24 Jan 2006 11:55:17 -0500 (EST) On Tue, 24 Jan 2006, jack quoted john w: >>Now I have another problem with exogenous variables. In VAR module (and >>in >>VECM too) there is no possibility to specify number of lags of exogenous >>variables. They are allways included with zero lags. I also tried with >>creating lags manually and then to include them as exogenous but it's not >>working. They do not apper in VAR and VECM modules (This is possible in >>OLS). This means that Gretl threats exogenous as deterministics i.e. as >>constant and trend i.e. without lags. The VAR command is one of the older interfaces in the program, and it could do with some updating. In CVS I have added a "--trend" option to the command, with an associated checkbox, "Include a trend", in the VAR dialog box. I have also the renamed the upper right-hand variable selection box to "Exogenous" rather than "Deterministic" variables. However, as you point out, including lags of exogenous variables is problematic. In the original design, the upper box was indeed intended for non-stochastic variables (trend, dummies), where the inclusion of lags would not make sense. And lagged variables are not shown in the left-hand list, for the obvious reason that this could get very confusing, since lags of the endogenous variables are handled automatically. Jack suggests: >Short-run workaround: define lagged variables using another name. For >example > > genr xlag1 = x(-1) Yes, this is a good idea (for the present). You can thereby fool gretl into thinking that "xlag1" is not really a lag, and it will be displayed in the left-hand variable selection list. >In the long run, I still think this could be solved by setting up tools >for handling lists in the GUI interface, but that will have to wait a bit. Agreed, on both counts. Quting john w again: >>I tried to do AIC and BIC tests for lag selection in VAR but the >>procedure stops here >>matrix mincrit = { 1.0E20 , 1.0E20 } Jack: >Sorry, I was assuming you're running the CVS version. If you're using >Windows, that should work with the nightly snapshot, which is basically >CVS with a 1-day lag. The matrix infrastructure is totally new and the >script cannot work with 1.5.0. The Windows snapshot usually follows CVS with a short lag, but there's some discretion here and in fact I haven't made a snapshot lately since there's a lot of new material in CVS that could be unstable. There will be a new snapshot as soon as CVS has settled down (shouldn't be long now). Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)ricardo.ecn.wfu.edu http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users