[Gretl-users] different IRFs using VAR and VECM

Hi all, I am a bit confused about the following. I estimated following two models which give exactly the same results. The first one uses the VECM command and the second one the VAR command. For both I compute the IRF(1,1) but they look different, which should not be the case, or? Or do I miss something here ... <hansl> open denmark list Y = LRM LRY IBO scalar lag = 4 scalar rnk = 1 # VECM vecm lag rnk Y --crt matrix sigma_vecm = $sigma matrix oirf11_vecm = irf(1,1,0) # The same using the var command matrix ECM = $ec list eclist = null loop i=1..cols(ECM) -q series ECM$i = ECM[,i] eclist += ECM$i endloop list EXO = eclist #const #|| exo2 || eclist scalar varlag = lag-1 var varlag diff(Y) ; EXO matrix sigma_var = $sigma matrix oirf11_var = irf(1,1,0) #Print-out print sigma_vecm sigma_var OIRF = oirf11_vecm ~ oirf11_var gnuplot 1 2 --with-lines --time-series --matrix=OIRF --output=display <\hansl> Artur