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Re: SVEC restriction (Olasehinde Timmy) ---------------------------------------------------------------------- Date: Fri, 24 Apr 2020 21:07:46 +0300 From: Alecos Papadopoulos <papadopalex(a)aueb.gr&gt; Subject: [Gretl-users] Re: Sign function in gretl To: gretl-users(a)gretlml.univpm.it Message-ID: <4042fbf7-d164-dd25-84be-9da5995bc712(a)aueb.gr&gt; Content-Type: text/plain; charset=iso-8859-15; format=flowed I believe this is because the IF function in spreadsheets (and the IF command in gretl also) is very straightforwardly conceptually linked to the verbal description of how one would dictate the action "If this happens do that, else do that" Conditional assignment on the other hand uses a symbol that makes it looks like it translates a different verbal description: s = x==0 ? 0 : (x>0 ? 1 : -1) Here the "IF" notion is replaced by a question mark so we imply a question "is x equal to zero ?". Then we write directly 0... but in this way, we have skipped any visual clue that the "0" after the ? is the action IF the answer to the question is "yes". So people get frozen. "Ok I see "x==0 ?" and I understand "Is x equal to zero?", fine. Is it? Is it not?" ... It is the question mark that creates all the confusion I think, because it is one step prior to consider the answer (the "IF") on which the possible actions will depend. It appears to link a question to possible actions without providing the possible answers in between that determine which actions to execute. Alecos Papadopoulos PhD Athens University of Economics and Business web: alecospapadopoulos.wordpress.com/ skype:alecos.papadopoulos On 24/4/2020 20:43, Riccardo (Jack) Lucchetti wrote: > I find it extremely difficult to come to terms with the fact that many > people consider conditional assignmment an obscure geeky thing, and > then happily use the IF() function in spreadsheets with no apparent > effort. ------------------------------ Date: Fri, 24 Apr 2020 21:21:03 +0100 From: Olasehinde Timmy <timmexdareal(a)gmail.com&gt; Subject: [Gretl-users] Re: SVEC restriction To: Gretl list <gretl-users(a)gretlml.univpm.it&gt; Message-ID: <CAGd3QrCbciN=5TWf7RT3nYOGgQJZ2pb9nK8AjMvAwWMx00rbsQ(a)mail.gmail.com&gt; Content-Type: multipart/alternative; boundary="0000000000008a13a105a40f1b66" --0000000000008a13a105a40f1b66 Content-Type: text/plain; charset="UTF-8" Thank you sir. I will revert back to you soon. Cheers On Fri, Apr 24, 2020, 9:28 AM Sven Schreiber <svetosch(a)gmx.net&gt; wrote: > Am 23.04.20 um 22:44 schrieb Olasehinde Timmy: >> I want to estimate a five-variable SVECs model with; >> Y = Output >> T = Tax >> R = Interest rate >> G = Government expenditure >> P = Price >> I assumed three theoretical co-integrating vectors; >> Y = beta11*G + beta12*P (stabilization rule) >> T = beta21*G (solvency) >> R = beta31*P (fisher relation) >> >> I want to however assign the three transitory shocks to T, G, & R >> respectively; does this not violate the listing the transitory shocks >> last in the Gretl convention? > OK, it's very good that now we have a specific example to work with. > First, you're right that the variable ordering matters here, so you > would have to construct your variable list for example like this: Y P T G > R. > > However, since you want Y and P to appear in the same cointegration > relationship, the default normalization for the beta matrix in the VECM > then won't work here (because it puts an identity submatrix at the top). > So in this case you need to estimate your beta explicitly with your > cointegration restrictions imposed before you go to the SVEC. > > So: You have to use gretl's builtin VECM apparatus and specify your > (over-) identifying restrictions on beta. (After initial estimation go > to Tests/Linear restrictions, then you have to type in the restrictions > in the format explained in the gretl user guide.) To be on the safe side > you should explicitly "grab" the estimated beta matrix: In the main > window go to Add/Define matrix and type something like "mybeta = $jbeta". > > OK, so now you can enter the estimated cointegration matrix into the > SVEC_GUI window field "coint (j)beta". Either you simply type in gretl's > accessor name "$jbeta" (without the quotes) or if that doesn't work for > some reason you use your grabbed object "mybeta". > > Then you can proceed to specify the remaining structural shock > restrictions with the pattern matrices. > > HTH > > sven > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: > https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/ > --0000000000008a13a105a40f1b66 Content-Type: text/html; charset="UTF-8" Content-Transfer-Encoding: quoted-printable <div dir=3D"auto">Thank you sir. I will revert back to you soon.=C2=A0<div = dir=3D"auto"><br></div><div dir=3D"auto">Cheers</div></div><br><div class= =3D"gmail_quote"><div dir=3D"ltr" class=3D"gmail_attr">On Fri, Apr 24, 2020= , 9:28 AM Sven Schreiber &lt;<a href=3D"mailto:svetosch@gmx.net">svetosch@g= mx.net</a>&gt; wrote:<br></div><blockquote class=3D"gmail_quote" style=3D"m= argin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex">Am 23.04.20 u= m 22:44 schrieb Olasehinde Timmy:<br> &gt; I want to estimate a five-variable SVECs model with;<br> &gt; Y =3D Output<br> &gt; T =3D Tax<br> &gt; R =3D Interest rate<br> &gt; G =3D Government expenditure<br> &gt; P =3D Price<br> &gt; I assumed three theoretical co-integrating vectors;<br> &gt; Y =3D beta11*G=C2=A0+ beta12*P (stabilization rule)<br> &gt; T =3D beta21*G (solvency)<br> &gt; R =3D beta31*P (fisher relation)<br> &gt;<br> &gt; I want to however assign the three transitory shocks to T, G, &amp; R<= br> &gt; respectively; does this not violate the listing the transitory shocks<= br> &gt; last in the Gretl convention?<br> <br> OK, it&#39;s very good that now we have a specific example to work with.<br= First, you&#39;re right that the variable ordering matters here, so you<br> would have to construct your variable list for example like this: Y P T G R= .<br> <br> However, since you want Y and P to appear in the same cointegration<br> relationship, the default normalization for the beta matrix in the VECM<br> then won&#39;t work here (because it puts an identity submatrix at the top)= .<br> So in this case you need to estimate your beta explicitly with your<br> cointegration restrictions imposed before you go to the SVEC.<br> <br> So: You have to use gretl&#39;s builtin VECM apparatus and specify your<br> (over-) identifying restrictions on beta. (After initial estimation go<br> to Tests/Linear restrictions, then you have to type in the restrictions<br> in the format explained in the gretl user guide.) To be on the safe side<br= you should explicitly &quot;grab&quot; the estimated beta matrix: In the ma= in<br> window go to Add/Define matrix and type something like &quot;mybeta =3D $jb= eta&quot;.<br> <br> OK, so now you can enter the estimated cointegration matrix into the<br> SVEC_GUI window field &quot;coint (j)beta&quot;. Either you simply type in = gretl&#39;s<br> accessor name &quot;$jbeta&quot; (without the quotes) or if that doesn&#39;= t work for<br> some reason you use your grabbed object &quot;mybeta&quot;.<br> <br> Then you can proceed to specify the remaining structural shock<br> restrictions with the pattern matrices.<br> <br> HTH<br> <br> sven<br> _______________________________________________<br> Gretl-users mailing list -- <a href=3D"mailto:gretl-users@gretlml.univpm.it= " target=3D"_blank" rel=3D&quot;noreferrer&quot;&gt;gretl-users(a)gretlml.univpm.it&lt;/a&gt;&lt;br= To unsubscribe send an email to <a href=3D"mailto:gretl-users-leave@gretlml= .univpm.it" target=3D"_blank" rel=3D&quot;noreferrer&quot;&gt;gretl-users-leave(a)gretlml.= univpm.it</a><br> Website: <a href=3D"https://gretlml.univpm.it/postorius/lists/gretl-users.g= retlml.univpm.it/" rel=3D"noreferrer noreferrer" target=3D"_blank">https://= gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/</a><br> </blockquote></div> --0000000000008a13a105a40f1b66-- ------------------------------ Subject: Digest Footer _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/ ------------------------------ End of Gretl-users Digest, Vol 159, Issue 17 ********************************************