On 08/15/2012 02:58 PM, artur tarassow wrote: > Dear gretl list, I know that this is a bit off-topic... but nevertheless > maybe somebody could help me with this. > > I am attempting to program the Chow-test for VAR models as implemented > in JMulti. In order to incorporate the bootstrapping part, the original > reduced-form VAR needs to be simulated many times based on a resampling > technique, as e.g. described in Lütkepohl's "New Introduction to > Multiple Time Series Analysis". > > My problem is the following: > In the case of estimating a VAR with deterministic terms and/or > exogenous, I am not sure how to account for these terms correctly. In > the reference of the "varsimul" command it is stated that these terms > can be handled by folding them into the U matrix. > > I attached an example based on a VAR(1) including a linear trend. The > problem is about line 20 in the code, where "matrix U = u .+ B" accounts > for the constant, but I am not sure whether "matrix U = u .+ B .+ DD" > would be the correct form to account for the linear trend as well. > Well it's clear you need the trend term, without it it's not the same model. In principle your code looks ok I guess, but I haven't checked whether you picked the right coefficients. One further thing to check: you define your 'trend' variable yourself, but the scaling (starting value) is arbitrary. E.g. you could use 0,1,2... or 1,2,3... The scaling will be picked up by the estimated constant term. So to really simulate the same model, you need to make sure that the scaling of the trend term in gretl's 'var ... --trend' command is the same as your own trend term. This could get tricky if gretl's trend term were bound to the dataset range (the index variable), which means that the starting value would depend on the effective sample which is chosen. Don't know if I made myself clear here. hth, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

On 08/15/2012 07:36 PM, artur tarassow wrote: > Hi Sven, thanks for the reply. > > I think line 20 should be changed as follows: > > matrix U = u .+ B + trend*C > > Nevertheless, still I am not sure whether this is fully correct... > > The point with the constant is a good hint, thanks for this. Indeed, in > gretl the "time" variable starts with value one for the first period of > the UNRESTRICTED sample. So actually, I have to check at which > observation my restricted sample starts and then I have to adjust the > trend accordingly. > Or you could include your own trend term manually into the original VAR as an exogenous variable, as a substitute for the --trend option. That way it's guaranteed you're always using the same trend term. -sven

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