Thank you Jack. I'll try.
Regarding my point 3. In Gretl VAR module (GUI) deterministic variables
covers trend and exogenous variables?
This is from Gretl help: ...any "deterministic" or exogenous terms ...
In VECM module the terminology is quite clear, but in VAR module a little
bit cunfuses me.
My suggestion for VAR module is:
1. To include one more check option for including a trend (like for a
constant),
2. To replace "Deterministic variables" with "Exogenous variables".
From: jack <jack(a)deanovell.unian.it>
Reply-To: jack(a)deanovell.unian.it, Gretl list
<gretl-users(a)ricardo.ecn.wfu.edu>
To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
Subject: Re: [Gretl-users] VAR roots plot
Date: Mon, 23 Jan 2006 11:36:29 +0100 (CET)
On Mon, 23 Jan 2006, john w wrote:
> Thnx Jack.
> 1. This could be done for VECM too?
Yes, of course, although normally you select the lag length first on
the VAR representation and only then you work on the cointegration rank.
But again, you can write a similar function for vecms rather easily.
> 2. function var_autolag(list X, list Z, scalar maxlag). X,Z and maxlag
must
> be changed manually?
> If there are no exogenous then Z must be 0?
The function is meant to be used from within a script. I thought the file
var_autolag_ex was self-explanatory (but obviously wasn't :-))
You can either write a script or run the following commands in a gretl
console:
1) run "include var_autolag.inp" to load the function in memory
2) define the lists with any name you want; for example
list foo = x1 x2
list bar = z1 z2
with the proviso that you can use the syntax
list bar = null
for an empty list.
3) run
var_autolag(foo,bar,4)
or
autolags = var_autolag(foo,bar,4)
if you want to save the results in a vector (may be useful for futher
processing)
> 3. In your previous mails you mentioned GUI. Where I can download GUI
(if
> you have some link)?
Oh, sorry, GUI stands for "Graphical User Interface". What I meant is
"what you get by running the graphical version of gretl rather than the
command-line version".
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
jack(a)dea.unian.it
http://www.econ.univpm.it/lucchetti
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