On Wed, 15 May 2013, artur tarassow wrote: > I've noted that the $vecGamma accessor does not grab the coefficient of the > exogenous unrestricted variables. See the example below: > > <hansl> > open denmark.gdt > list ENDO = LRM LRY > list EXO = IBO IDE > list DEXO = diff(EXO) > list DEXO += lags(1,DEXO) > > vecm 2 1 ENDO ; DEXO ; #optional:EXO > matrix gamma = $vecGamma > print gamma > <\hansl> > > The coefficients for d_IBO_1 and d_IDE_1 are not in matrix gamma. Is this > intended? Yes, it's intended. As the help says, $vecGamma contains the "coefficients on the lagged differences of the cointegrated variables". The $coeff matrix, on the other hand, contains the coefficients on any exogenous terms, if you need them. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users