Many thanks Allin, I'll play around with this a bit...
[mailto:email@example.com] 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
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
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
To get the contemp covariance:
matrix V = $vcv
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