Datum: Mon, 10 Jan 2011 14:01:52 -0500 (EST) Von: Allin Cottrell <cottrell(a)wfu.edu&gt; An: Gretl users <gretl-users(a)lists.wfu.edu&gt; Betreff: [Gretl-users] VECM alpha restrictions

Hello all, Following from a bug report from Artur T, I've been examining the handling of restrictions on the \alpha matrix in a VECM. Among other things, I noticed that we've had the interpretation of the row and column indices reversed, in the context of a restriction such as a[3,1] = 0 That is, we've read this as EC-term 3, equation 1, which is in fact \alpha_{1,3}. This probably happened because for internal purposes we represent the restriction in terms of a vector that gets multiplied into vec(\alpha'). Nonetheless, it seems like a definite bug to me, and it's now corrected in CVS (and duly noted in gretl's backward-incompatibility log). >From now on an expression such as "a[3,1]" in a VECM restriction will be read as specifying \alpha_{3,1}, the coefficient on the first EC term in the third equation. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users