On Sun, 25 Dec 2005, Aurelien Chanudet wrote:
I'm trying to use gretl's vecm command. The following statement :
vecm 2 1 x1 x2
gives me the following output :
Cointegrating vector :
Equation 1: d_x1
Given the above output, I'd expect the predicted value d_x1_hat for d_x1 to be :
d_x1_hat = theta + g1 d_x1_1 + g2 d_x2_1 + alpha ( b1 x1(-1) + b2 x2(-2) )
It should be "alpha (b1 x1(-1) + b2 x(-1))", but I suppose it was just a
typo. Other than that, I can't see anything obviously wrong.
However, applying the above formula yields crazy results. Surely, I
must be overlooking something. Any hint ?
What do you mean exactly by "crazy results"? Can you be more specific? Can
you reproduce your problem with, eg, the "denmark" data set supplied with
Thanks and season greetings !
And to you!
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche