Hi, I'm estimating some VEC models and I would like to know if there is a way to choose specific lags for the model. Using the GUI, if I select 12 lags, GRETL uses lags 1 to 12; but I just want lag 12. Any help? Thanks Rick ------------------------------------------------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

Hi Sven, Nice. I need the estimates and the impulses responses. Thanks Ricardo -------------------------------------------------- From: "Sven Schreiber" <svetosch(a)gmx.net&gt; Sent: Friday, May 29, 2009 6:15 AM To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] VEC Question > Hi Ricardo, > > from the changelog of 1.8.1: > "VARs: support gaps in the lag structure (not for VECMs); > also, allow single-equations VARs" > > So for VECs it's not directly possible. Depending on what you want to do > with the model you could specify the 12th lag manually as an > (unrestricted) exogenous variable. Of course forecasts become tricky > then, but maybe you just need the estimates? > > cheers, > sven > > > Am 28.05.2009 18:12, Ricardo Gonçalves Silva schrieb: >> Hi, >> >> I'm estimating some VEC models and I would like to know if there is a >> way to choose specific lags for the model. >> Using the GUI, if I select 12 lags, GRETL uses lags 1 to 12; but I just >> want lag 12. >> Any help? >> Thanks >> >> Rick >> >> >> ------------------------------------------------------------------------ >> >> _______________________________________________ >> 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 > > > Nenhum vírus encontrado nessa mensagem recebida. > Verificado por AVG - www.avgbrasil.com.br > Versão: 8.5.339 / Banco de dados de vírus: 270.12.45/2141 - Data de > Lançamento: 05/29/09 06:28:00 > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

well impulse responses are of course a kind of forecast, so I'm afraid that this won't solve your problem then... -sven Am 29.05.2009 17:51, Ricardo Gonçalves Silva schrieb: > Hi Sven, > > Nice. I need the estimates and the impulses responses. > > Thanks > > Ricardo > > -------------------------------------------------- > From: "Sven Schreiber" <svetosch(a)gmx.net&gt; > Sent: Friday, May 29, 2009 6:15 AM > To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; > Subject: Re: [Gretl-users] VEC Question > >> Hi Ricardo, >> >> from the changelog of 1.8.1: >> "VARs: support gaps in the lag structure (not for VECMs); >> also, allow single-equations VARs" >> >> So for VECs it's not directly possible. Depending on what you want to do >> with the model you could specify the 12th lag manually as an >> (unrestricted) exogenous variable. Of course forecasts become tricky >> then, but maybe you just need the estimates? >> >> cheers, >> sven >> >> >> Am 28.05.2009 18:12, Ricardo Gonçalves Silva schrieb: >>> Hi, >>> >>> I'm estimating some VEC models and I would like to know if there is a >>> way to choose specific lags for the model. >>> Using the GUI, if I select 12 lags, GRETL uses lags 1 to 12; but I just >>> want lag 12. >>> Any help? >>> Thanks >>> >>> Rick >>> >>> >>> ------------------------------------------------------------------------ >>> >>> _______________________________________________ >>> 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 >> > > > >> >> Nenhum vírus encontrado nessa mensagem recebida. >> Verificado por AVG - www.avgbrasil.com.br >> Versão: 8.5.339 / Banco de dados de vírus: 270.12.45/2141 - Data de >> Lançamento: 05/29/09 06:28:00 >> > > _______________________________________________ > 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

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On Fri, 29 May 2009, Ricardo Gonçalves Silva wrote: > Hi Sven, > > Nice. I need the estimates and the impulses responses. > > Thanks > > Ricardo I'm sorry if this is obvious to you, but since it isn't obvious in general I thought I'd post it to the list. The difficulty with this from an econometric viewpoint is that if you want to estimate a model like \Delta y_t = \alpha \beta' y_{t-1} + \Gamma y_{t-12} + u_t the problem of estimating \beta via ML is not trivial: the VAR representation of the above is a 13-order VAR which not only contains "holes", but also other constraints: y_t = A_1 y_{t-1} + A_2 y_{t-2} + ... + A_{13} y_{t-13} + u_t where (1) A_1 = I + alpha \beta' (2) A_{i} = 0 for i=2..11 (3) A_{12} = -A_{13} The theoretical construction for the Johansen estimator assumes that the only constraint to the VAR representation is (1) (ok, deterministic terms aside), and the code is written on that basis. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti

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It may be possible to do maximum likelihodd estimation by a variation of the Johansen methodology. In the general case with no exclusions one starts with two auxiliary regressions. 1. \Delta y_t on \Delta y_{t-1} ... \Delta y_{t-11} 2. y_{t-1}t on \Delta y_{t-1} ... \Delta y_{t-11} In your case the auxiliary regressions will be on the sum of the lagged first differences. Calculate the residuals from these regressions and proceeding as in Johansen (See Hamilton pages 636 et seq.). As far as I can tell this should give you your ML estimates. I suspect that many of the Johansen tests may remain valid but you will need a bit of work to prove this. I would be interested to hear if anyone else has established some results (confirming or contradicting my intuition). Best regards John 2009/5/31 Ricardo Gonçalves Silva <ricardogs(a)terra.com.br&gt;: > Hi Jack, > t > Very nice explanation. I'm sure this point is obscure for most of the > applied econometricians.. > I really understand the problem but this is exactly the kind of model I > wa > to explore. > I'm now working in writing a general procedure for this kind of > estimation > using Gauss. > If it's work nicely I believe I can translaansente the code to GRETL and > post it. >ition > Cheers > > Rick.two auxiliary regressions > > -------------------------------------------------- > From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; > Sent: Sunday, May 31, 2009 8:46 AM > To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; > Subject: Re: [Gretl-users] VEC Question > >> On Fri, 29 May 2009, Ricardo Gonçalves Silva wrote: >> >>> Hi Sven, >>> >>> Nice. I need the estimates and the impulses responses. >>> >>> Thanks >>> >>> Ricardo >> >> I'm sorry if this is obvious to you, but since it isn't obvious in >> general >> I thought I'd post it to the list. The difficulty with this from an >> econometric viewpoint is that if you want to estimate a model like >> >> \Delta y_t = \alpha \beta' y_{t-1} + \Gamma y_{t-12} + u_t >> >> the problem of estimating \beta via ML is not trivial: the VAR >> representation of the above is a 13-order VAR which not only contains >> "holes", but also other constraints: >> >> y_t = A_1 y_{t-1} + A_2 y_{t-2} + ... + A_{13} y_{t-13} + u_t >> >> where >> >> (1) A_1 = I + alpha \beta' >> (2) A_{i} = 0 for i=2..11 >> (3) A_{12} = -A_{13} >> >> The theoretical construction for the Johansen estimator assumes that the >> only constraint to the VAR representation is (1) (ok, deterministic >> terms >> aside), and the code is written on that basis. >> >> Riccardo (Jack) Lucchetti >> Dipartimento di Economia >> Università Politecnica delle Marche >> >> r.lucchetti(a)univpm.it >> http://www.econ.univpm.it/lucchetti > > > >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users > > > >> >> Nenhum vírus encontrado nessa mensagem recebida. >> Verificado por AVG - www.avgbrasil.com.br >> Versão: 8.5.339 / Banco de dados de vírus: 270.12.46/2144 - Data de >> Lançamento: 05/30/09 17:53:00 >> > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- John C Frain Economics Department Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:frainj@tcd.ie mailto:frainj@gmail.com _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

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