Sven Schreiber schrieb:
Gergely Gánics schrieb:
> Dear gretl users,
> I would like to perform a Gonzalo-Granger decomposition using gretl.
> Does anybody know how to do this? There used to be a function for it
> (written by Sven Schreiber), but it's not part of the function packages
> Any help is greatly appreciated!
If you can wait a few days, I promise (!) to get the function in shape
again for uploading.
Gergely (and maybe other interested people),
attached is a first attempt of a gretl function package that hopefully
does what you need. If you don't know how to use such a function package
please read chapter 10.6 of the gretl manual.
Before I upload this to the package server it would be nice if people
could test it and give feedback. I did some testing myself and squashed
some bugs, but I'm sure there are more.
Notice that if you don't specify exogenous variables in the underlying
VECM (the "standard" case) the respective (list) arguments must be set
to the gretl keyword 'null'.