1:53 p.m.
This is my first post to this list. Thanks for reading.
I am interested in doing repeated simulations with the either the coint2 or
vecm command to create a distribution of, say, the beta cointegrating
vectors in order to compare them to a theoretical value. In order to do this
several thousand times I obviously need a way to access the values that
coint2 or vecm outputs and save them into a matrix or series, but I can't
seem to find any $accessors to pull this information out. $uhat following
coint2 produces a matrix of residuals, but that's not quite what I'm after.
I'd really like the beta, alpha, renormalized beta, renormalized alpha, and
the long-run matrix.
Any help would be greatly appreciated.
2:21 p.m.
On Wed, 14 Mar 2012, Trevor Zink wrote:
This is my first post to this list. Thanks for reading.
Welcome to the gretl list.
I am interested in doing repeated simulations with the either the
coint2 or
vecm command to create a distribution of, say, the beta cointegrating
vectors in order to compare them to a theoretical value. In order to do this
several thousand times I obviously need a way to access the values that
coint2 or vecm outputs and save them into a matrix or series, but I can't
seem to find any $accessors to pull this information out.
The coint2 command doesn't offer much in the way of accessors,
but for the vecm command, look up $jalpha, $jbeta and $jvbeta
(all the accessors are listed in the Function reference). For
an example of use see the supplied script denmark.inp (under
/File/Script files/Practice file, and the Gretl tab).
Allin Cottrell
2:33 p.m.
Great, thanks. I looked through the list of accessors but I guess I didn't
expect the j- prefix. Maybe these should be listed in the command help for
vecm?
In any case, this is very helpful. Thanks for the quick response.
Trevor
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Allin Cottrell
Sent: Wednesday, March 14, 2012 11:22 AM
To: Gretl list
Subject: Re: [Gretl-users] accessors for coint2 cointegration test or vecm
command?
On Wed, 14 Mar 2012, Trevor Zink wrote:
This is my first post to this list. Thanks for reading.
Welcome to the gretl list.
I am interested in doing repeated simulations with the either the
coint2 or vecm command to create a distribution of, say, the beta
cointegrating vectors in order to compare them to a theoretical value.
In order to do this several thousand times I obviously need a way to
access the values that
coint2 or vecm outputs and save them into a matrix or series, but I
can't seem to find any $accessors to pull this information out.
The coint2 command doesn't offer much in the way of accessors, but for the
vecm command, look up $jalpha, $jbeta and $jvbeta (all the accessors are
listed in the Function reference). For an example of use see the supplied
script denmark.inp (under /File/Script files/Practice file, and the Gretl
tab).
Allin Cottrell
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