2012/8/15 Sven Schreiber
<svetosch@gmx.net>
On 08/15/2012 07:36 PM, artur tarassow wrote:
> Hi Sven, thanks for the reply.
>
> I think line 20 should be changed as follows:
>
> matrix U = u .+ B + trend*C
>
> Nevertheless, still I am not sure whether this is fully correct...
>
> The point with the constant is a good hint, thanks for this. Indeed, in
> gretl the "time" variable starts with value one for the first period of
> the UNRESTRICTED sample. So actually, I have to check at which
> observation my restricted sample starts and then I have to adjust the
> trend accordingly.
>
Or you could include your own trend term manually into the original VAR
as an exogenous variable, as a substitute for the --trend option. That
way it's guaranteed you're always using the same trend term.
-sven
Actually, this is a good idea. I changed the code such that every exogenous and/or deterministic term (except the constant) enters a specific matrix. This is the easiest way to handle this.
Artur