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On Fri, 11 Nov 2022 at 5:28 AM, Agustín Alonso Rodríguez <
aalonso(a)rcumariacristina.com> wrote:
Dear Sirs:
Dear Augustinian, one way is the Hendry’s General to specific criteria
to select the model. you retain the lagged variables , which ,usually ,
have the p value less than or equal to .05 in your model.
How to refine or simplify a VAR model suppressing the insignificant
estimated coefs?
Waiting for your help, I am
Sincerely yours.
Agustin Alonso-Rodriguez
Prof. of Econometrics
Real Centro Universitario “Escorial-Maria Cristina”
San Lorenzo de El Escorial(Madrid) Spain
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Am 11.11.2022 um 13:06 schrieb Dhanasekaran Kuppusamy:
On Fri, 11 Nov 2022 at 5:28 AM, Agustín Alonso Rodríguez
<aalonso(a)rcumariacristina.com> wrote:
Dear Sirs:
Dear Augustinian, one way is the Hendry’s General to specific
criteria to select the model. you retain the lagged variables ,
which ,usually , have the p value less than or equal to .05 in
your model.
How to refine or simplify a VAR model suppressing the
insignificant estimated coefs?
Hi, I don't think we currently have a ready-made procedure for this yet:
- Some time ago I wrote some hansl code that takes a VAR, throws out the
nominally insignificant regressors, and re-estimates the resulting SUR
system (with classical GLS). This basically sounds like what you want.
The problem is, I never found the time to package it up properly, and
this kind of pre-testing procedure is also frowned upon by some people.
- Fellow gretl warrior Luca and I have been thinking about producing a
function package with some basic BVAR stuff (VARs with Bayesian
shrinkage), which would be a related thing. But this hasn't progressed
yet, either.
- At some point in the future gretl's Lasso implementation (regls addon)
might also cover multivariate systems / VARs, but again: not yet.
People to develop more function packages with gretl's econometric
scripting language hansl are always welcome, no knowledge of C is required!
cheers
sven
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Sven Schreiber