Since some while it is possible to do use the name of a variable for the 'restrict' command after OLS. But this is not the case for the VECM command. Is there any reason to handle this case differently?

On 04/19/2012 05:55 PM, Allin Cottrell wrote: > On Thu, 19 Apr 2012, Artur Tarassow wrote: > >> Since some while it is possible to do use the name of a variable for the >> 'restrict' command after OLS. But this is not the case for the VECM >> command. Is there any reason to handle this case differently? I thought the only reason is that nobody has implemented it, but Allin seems to disagree a little: > Yes: typically a restriction on a system such as a VECM will > need two "subscripts" on the coefficients (although in the > case you give, of a VECM with a single cointegrating relation, > that happens not to apply). I guess we could support names in > that context but it doesn't seem as "natural" as in the > straightforward single-equation case. Hm, isn't it the case already that a single index can be used here to mean "variable number x in all cointegration relations"?

I tend to think that Artur's request is perfectly valid, but I don't think the example he's giving is the top most typical hypothesis. In other words, if some syntactic sugar were to be added to the Vecm-restrict apparatus, I think it would be worthwhile to also cover some other use cases. At the risk of sounding spoiled, some of those could be: * test of weak exogeneity of some variable, zero row in alpha: 'a[myvar]=0' * test of whether variable number x is stationary, given the cointegration rank (one appropriate unit vector in beta, and that variable not appearing in the other relations) etc. I wonder whether there would be some way to implement this as a function/add-on/etc. without touching the C source?

On 04/19/2012 05:55 PM, Allin Cottrell wrote: > On Thu, 19 Apr 2012, Artur Tarassow wrote: > >> Since some while it is possible to do use the name of a variable for the >> 'restrict' command after OLS. But this is not the case for the VECM >> command. Is there any reason to handle this case differently? I thought the only reason is that nobody has implemented it, but Allin seems to disagree a little: > Yes: typically a restriction on a system such as a VECM will > need two "subscripts" on the coefficients (although in the > case you give, of a VECM with a single cointegrating relation, > that happens not to apply). I guess we could support names in > that context but it doesn't seem as "natural" as in the > straightforward single-equation case. Hm, isn't it the case already that a single index can be used here to mean "variable number x in all cointegration relations"?

I tend to think that Artur's request is perfectly valid, but I don't think the example he's giving is the top most typical hypothesis. In other words, if some syntactic sugar were to be added to the Vecm-restrict apparatus, I think it would be worthwhile to also cover some other use cases. At the risk of sounding spoiled, some of those could be: * test of weak exogeneity of some variable, zero row in alpha: 'a[myvar]=0' * test of whether variable number x is stationary, given the cointegration rank (one appropriate unit vector in beta, and that variable not appearing in the other relations) etc. I wonder whether there would be some way to implement this as a function/add-on/etc. without touching the C source?

Hi Gretl Users, Could some gurus here(Allin, Riccardo, Sven, Artur et al.) gist me on how to apply a STAR(Smooth Transition Autoregression) model with Gretl? Cheers ------------------------------ *From:* Allin Cottrell <cottrell(a)wfu.edu&gt; *To:* Gretl list <gretl-users(a)lists.wfu.edu&gt; *Sent:* Friday, April 20, 2012 11:29 PM *Subject:* Re: [Gretl-users] Restrict command after VECM On Thu, 19 Apr 2012, Sven Schreiber wrote: > On 04/19/2012 05:55 PM, Allin Cottrell wrote: >> On Thu, 19 Apr 2012, Artur Tarassow wrote: >> >>> Since some while it is possible to do use the name of a variable for the >>> 'restrict' command after OLS. But this is not the case for the VECM >>> command. Is there any reason to handle this case differently? > > I thought the only reason is that nobody has implemented it, but Allin > seems to disagree a little: > >> Yes: typically a restriction on a system such as a VECM will >> need two "subscripts" on the coefficients (although in the >> case you give, of a VECM with a single cointegrating relation, >> that happens not to apply). I guess we could support names in >> that context but it doesn't seem as "natural" as in the >> straightforward single-equation case. > > Hm, isn't it the case already that a single index can be used here to > mean "variable number x in all cointegration relations"? You're right, I was forgetting that. So I've now enabled in CVS what Artur wanted. > I tend to think that Artur's request is perfectly valid, but I don't > think the example he's giving is the top most typical hypothesis. In > other words, if some syntactic sugar were to be added to the > Vecm-restrict apparatus, I think it would be worthwhile to also cover > some other use cases. > > At the risk of sounding spoiled, some of those could be: > > * test of weak exogeneity of some variable, zero row in alpha: 'a[myvar]=0' > > * test of whether variable number x is stationary, given the > cointegration rank (one appropriate unit vector in beta, and that > variable not appearing in the other relations) > > etc. > > I wonder whether there would be some way to implement this as a > function/add-on/etc. without touching the C source? That's a good thought. It might need a little help from the C code level; e.g. the ability to call up the list of endogenous variables in the VECM, which I don't think is there right now. Allin _______________________________________________ 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

On Fri, 20 Apr 2012, Allin Cottrell wrote: > On Thu, 19 Apr 2012, Sven Schreiber wrote: >> I wonder whether there would be some way to implement [some >> easy shortcuts for tests on VECMs] as a >> function/add-on/etc. without touching the C source? > > That's a good thought. It might need a little help from the > C code level; e.g. the ability to call up the list of > endogenous variables in the VECM, which I don't think is > there right now. There's now a $ylist accessor for VARs and VECMs.