[Gretl-users] Restrictions on VECM alpha and exogeneity test

Hello, I am learning and exploring Gretl's VECM. I have problem with exogeneity test after imposing restriction in VECM alpha. Without restriction in VECM alpha, exogeneity test is straightforward as in Gretl manual's example. Supposed that we already set restriction in VECM alpha, how to conduct exogeneity test on other variables? Using the same approach, I obtain error message "Matrices not conformable for operation". I attach the script using Verbeek data. Thank you. Yuniarto Hadiwibowo <script> open "C:\Program Files\gretl\data\verbeek\money.gdt" smpl 1954:1 1994:4 vecm 6 2 m infl cpr y tbr --rc --quiet restrict --full --quiet b[1,1]=-1 b[1,3]=0 b[2,1]=0 b[2,3]=-1 end restrict ll0 = $lnl set echo off var_1="m" var_2="infl" var_3="cpr" var_4="y" var_5="tbr" loop for i=1..5 --quiet restrict --quiet a$i=0 end restrict ts_$i = 2*(ll0 - $rlnl) end loop printf "\n\nExogeneity Test\n" printf "var \t%5s [%6s]\n", "tvalue", "pvalue" loop for i=1..5 --quiet printf "%s \t%6.3f [%6.4f]\n", var_$i, ts_$i, pvalue(X, 2, ts_$i) end loop printf "\n" set echo on restrict --full --quiet a5=0 end restrict ll0 = $lnl set echo off loop for i=1..4 --quiet restrict --quiet a$i=0 end restrict ts_$i = 2*(ll0 - $rlnl) end loop printf "\n\nExogeneity Test\n" printf "var \t%5s [%6s]\n", "tvalue", "pvalue" loop for i=1..4 --quiet printf "%s \t%6.3f [%6.4f]\n", var_$i, ts_$i, pvalue(X, 2, ts_$i) end loop </script>