5:46 p.m.
Fellow gretl-users,
Do any of you have any experience using gretl for structural VAR work?
On a related note, is there a way to get impulse responses from a
non-choleski decomposition? I'm thinking of something along the lines of
the "impulse" command in RATS: impulse(vcv=blah) ... where 'blah' is my
covariance matrix.
Any thoughts, comments & suggestions would be most welcome!
PS
===============================
Dr. Peter Summers
Assistant Professor
Department of Economics & Geography
Texas Tech University
===============================
11:32 p.m.
On Mon, 20 Aug 2007, Summers, Peter wrote:
Do any of you have any experience using gretl for structural VAR
work?
Structural VARs are not yet supported as such, although I think
Jack Lucchetti wrote a gretl script that headed in that direction.
Hopefully, Jack will be back on the list before long, and he can
surely offer more help than I.
On a related note, is there a way to get impulse responses from
a non-choleski decomposition? I'm thinking of something along
the lines of the "impulse" command in RATS: impulse(vcv=blah)
... where 'blah' is my covariance matrix.
Not via a basic command, at this point. However, you can get the
companion matrix from a VAR, and you can get the contemporaneous
covariance matrix, and you have a lot of matrix manipulation
tools.
To get the companion matrix:
* estimate a VAR
* matrix A = $compan
(But in gretl prior to today's changes in CVS, and todays' Windows
snapshot, "matrix A = $coeff" -- now $coeff gets you the regular
coefficient matrix.)
To get the contemp covariance:
matrix V = $vcv
Allin Cottrell
2:34 p.m.
Many thanks Allin, I'll play around with this a bit...
PS
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Allin Cottrell
Sent: Tuesday, August 21, 2007 6:33 PM
To: Gretl list
Subject: Re: [Gretl-users] structural VARs
On Mon, 20 Aug 2007, Summers, Peter wrote:
Do any of you have any experience using gretl for structural VAR
work?
Structural VARs are not yet supported as such, although I think
Jack Lucchetti wrote a gretl script that headed in that direction.
Hopefully, Jack will be back on the list before long, and he can
surely offer more help than I.
On a related note, is there a way to get impulse responses from
a non-choleski decomposition? I'm thinking of something along
the lines of the "impulse" command in RATS: impulse(vcv=blah)
... where 'blah' is my covariance matrix.
Not via a basic command, at this point. However, you can get the
companion matrix from a VAR, and you can get the contemporaneous
covariance matrix, and you have a lot of matrix manipulation
tools.
To get the companion matrix:
* estimate a VAR
* matrix A = $compan
(But in gretl prior to today's changes in CVS, and todays' Windows
snapshot, "matrix A = $coeff" -- now $coeff gets you the regular
coefficient matrix.)
To get the contemp covariance:
matrix V = $vcv
Allin Cottrell
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
12:11 p.m.
On Mon, 20 Aug 2007, Summers, Peter wrote:
> Do any of you have any experience using gretl for structural VAR
> work?
Structural VARs are not yet supported as such, although I think
Jack Lucchetti wrote a gretl script that headed in that direction.
Hopefully, Jack will be back on the list before long, and he can
surely offer more help than I.
The current situation is that I have a pretty comprehensive set of ox
functions to deal with structural VARs. The three classes (K, C and AB
models) of models presented in Amisano-Giannini (1997) are all covered,
with short- and long-run identification constraints. Cointegraion is also
handled, so for example you can replicate King, Plosser, Stock & Watson
(1992). My ox class also performs identification analysis as per my own ET
paper (2006).
My original plan was to incorporate the whole thing in gretl, once the
VECM dust has settled, the "proper" way: that is, recode the whole thing
in C. This, however, will take quite a long time.
Alternative routes we may take:
a) recode everything as a set of gretl functions
b) build a gretl function that invokes my ox class (like Sven did with
python)
(a) may be good for gretl, as it would also provide an excellent testbed
for user-defined functions and matrix primitives. However, the amount of
work is quite big, and my gut feeling is that this would only end up as a
poor duplicate of a native implementation. (b) may perhaps be more
promising; yet, it would require you to install ox on your machine and is
quite complicated anyway, because parameter passing is definitely not
trivial.
In the meantime, I guess your best bet is to use JMulTi, which is pretty
good at these things. The fact that gretl provides the facility to export
your data in JMulTi format should make this relatively painless.
HTH,
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
6313
days inactive
6320
days old
3 comments
3 participants
participants (3)
-
Allin Cottrell -
Riccardo (Jack) Lucchetti -
Summers, Peter