AFAIK, this is one you'd have to do yourself via MLE (or GMM, maybe?). I think that
JMulti has this class of model available from a menu or something similar, but I've
never used it.
From: gretl-users-bounces(a)lists.wfu.edu [mailto:email@example.com] On
Behalf Of Anutechia Asongu
Sent: Sunday, April 22, 2012 3:50 PM
To: Gretl list
Subject: [Gretl-users] STAR Model with Gretl
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?
From: Allin Cottrell <cottrell(a)wfu.edu>
To: Gretl list <gretl-users(a)lists.wfu.edu>
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
I tend to think that Artur's request is perfectly valid, but I
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)
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.
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