[Gretl-users] Restrictions on cointegration vectors

Dear all, Allin and I have just slightly modified the output of the "restrict" command after estimating a VECM. You now get, together with the test proper, the restricted estimate of the cointegration matrix \beta and of the loadings \alpha. Please note that the restrictions are applied to all cointegration vectors: restrictions on individual vectors are not handled yet. This is planned, but for a longer timeframe. The attached script reproduces two examples from Johansen (1995), OUP. We'd like to have some feedback from you cointegration junkies out there (Sven, are you there? ;-)). One of the things we're currently uncertain on is: when the restriction are applied, should the restricted model estimated in full? On one hand, this seems a bit overkill: especially if the restrictions are rejected, it makes little sense to compute the short-run parameters and all the rest. On the other hand, if we don't estimate the model, you don't get a covariance matrix for the restricted \betas, since you need the residuals for that. [footnote: It must be said, though, that I'm not sure at the moment whether the formulae for the asymptotic covariance matrix for \beta still hold under linear restictions.]. Riccardo (Jack) Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona