Dear Users, I would ask you how to estimate partial cointegrated VAR models assuming that some variables in the original dataset are weakly exogenous as in Juselius (2006), "The cointegrated VAR model", sections 11.2 and 11.2.1. Thank you in advanced, EN _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

Thank you very much Artur. Do you suggest me to consider linear restrictions for element in matrix alpha and to include my weakly exogenous variables as "exogenous"? I'm not sure to replicate a partial CVAR. What do you think about? En 2012/1/9 artur tarassow <artur.tarassow(a)googlemail.com&gt;: > Hey Enrico, > > please check chapter 25 in the manual > > (URL: > http://sourceforge.net/settings/mirror_choices?projectname=gretl&file...) > > for some examples. > > Best, > Artur > > > 2012/1/9 Enrico Foscolo <enrico.foscolo(a)gmail.com&gt; >> >> Dear Users, >> >> I would ask you how to estimate partial cointegrated VAR models >> assuming that some variables in the original dataset are weakly >> exogenous as in Juselius (2006), "The cointegrated VAR model", >> sections 11.2 and 11.2.1. >> >> Thank you in advanced, >> >> EN >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users