[Gretl-devel] VECM restrictions once again

[Allin Cottrell]

On Fri, 10 Aug 2007, Sven Schreiber wrote:

> > We're getting close.  We've implemented both a limited-memory BFGS 
> > optimizer and the Boswijk-Doornik switching algorithm.  On current 
> > evidence the latter seems preferable.  
> 
> So this would prove their claims correct?

To an extent.  We're able to come up with some cases where the 
switching algorithm gets stuck at a local maximum but this may 
have more to do with the initialization than the optimization
method itelf.

> > The final "restrict" command produces nice results.  But what has 
> > gone wrong in the previous case?  Clearly the automatic initial
> > values computed by gretl were bad.  But can anyone test this 
> > against other software and see if the competition gets it right?
> > That would be very helpful.
> 
> I would, but I will be traveling the next 2-3 weeks.

OK, hope to hear from you later!

Allin.