Re: [Gretl-users] VECM estimation
On Thu, 31 Aug 2006, I wrote:
Test 2: The real exchange rate is stationary, or beta is
proportional to (1, -1, -1)'. In gretl we do
restrict
b1 - b2 = 0
b1 - b3 = 0
end restrict
Hmm, that would not be correct. There's now a correct version
of the hamilton VECM script in gretl CVS. The test above should
be:
restrict
b1 + b2 = 0
b1 + b3 = 0
end restrict
Allin.