When I run that code I get:
gretl version 2016e-git
Current session: 2016-12-08 18:52
? function void varsim (series Y, matrix ARbeta "Coeff. vector of Y", list
X \
"List of exogenous (-pmin to -p)", matrix Xbeta "coeff vector of
Xs",
list \
D "deterministics", matrix
function void varsim (series Y, matrix ARbeta "Coeff. vector of
Y", list
X "List of exogenous (-pmin to -p)", matrix Xbeta
"coeff vector of Xs",
list D "deterministics", matrix
parameter 6: name is missing
Error executing script: halting
function void varsim (series Y, matrix ARbeta "Coeff. vector of
Y", list
X "List of exogenous (-pmin to -p)", matrix Xbeta
"coeff vector of Xs",
list D "deterministics", matrix
Or is that your point?
C
On 8 December 2016 at 11:05, Artur T. <artur.tarassow(a)googlemail.com> wrote:
> Btw, here is an example for an ARDL(p,p) model:
>
> <hansl>
> clear
> set echo off
> set messages off
> set seed 1234
> open denmark.gdt -q
>
function void varsim (series Y, matrix ARbeta "Coeff. vector of
Y", list
> X "List of exogenous (-pmin to -p)",
> matrix Xbeta "coeff vector of Xs", list D "deterministics",
matrix
> Dbeta "coeff. vector of D",
> series e "resampled", int p, series *ysim)
>
> list lX = D X
> matrix DLcoef = Dbeta | Xbeta
> series m = lincomb(lX, DLcoef)
> scalar T = rows({e})
>
> matrix A = ARbeta' | (I(p-1) ~ 0)
> matrix y0 = mreverse({Y}[1:p])'
>
> matrix U = {e + m} ~ zeros(T, p-1)
> matrix S = varsimul(A, U, y0)
> S = {Y}[1:p-1] | S[,1]
> series ysim = S
> end function
>
> series Y = LRY
> series X = LRM
> list lD = const time
> scalar nD = nelem(lD)
> scalar p = 4
> scalar minp = 0
> ols Y lD Y(-1 to -p) X(minp to -p)
> scalar ay = (1+nD)
> scalar ey = ay+p-1
> matrix ARbeta = $coeff[ay:ey]
> matrix Dbeta = $coeff[1:nD]
> matrix Xbeta = $coeff[1+ey:]
> series ysim = 0
> list lX = X(0 to -p)
> varsim(Y, ARbeta, lX, Xbeta, lD, Dbeta, e, p, &ysim)
>
> gnuplot Y ysim --with-lines --time-series --output=display
>
> </hansl>
>
> Artur
>
> >> filter() only takes a scalar for pre-sample values. If you want to
> >> simulate an AR(p) with p>1 and p initial values fixed, I guess your best
> >> bet is to re-cast the model as a VAR(1) in companion form and then use
> >> varsimul(), as in
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
>
http://lists.wfu.edu/mailman/listinfo/gretl-users
>
--
Clive Nicholas
"My colleagues in the social sciences talk a great deal about methodology.
I prefer to call it style." -- Freeman J. Dyson