Re: [Gretl-users] VECM: Impulse response analysis for cointegrating relations
On Wed, 24 Mar 2010, Artur T. wrote:
Allin:
> open denmark
> vecm 2 1 LRM LRY IBO IDE
> v2 <- restrict
> b[1] + 1 = 0
> end restrict --full
>
> Then open v2 in a GUI window and get impulse responses via the
> Graph menu.
Sorry, I think I did not explain it correctly.
I know that I can restrict the model and run the impulse response
analysis. What I was actually asking for is the so called persistence
profile approach proposed by Pesaran/Shin ("Cointegration and speed of
convergence to equilibrium" 1996 in Journal of Econometrics).
There they shock the cointegrating relations directly and not the
individual variables (as I understood it).
Well, you've got the companion matrix ($compan) so you should be
able to do that if you wish.
Allin