[Gretl-devel] VECM restrictions once again

[Riccardo (Jack) Lucchetti]

On Wed, 5 Sep 2007, Sven Schreiber wrote:

> Allin Cottrell schrieb:
>
> Ok, hope you don't miss this belated continuation of the thread.
>
> Before tackling the restrictions, maybe it's worth noting that for the
> unrestricted Vecm I get the same point estimates with gretl (snapshot
> downloaded today), Eviews (5.1), and PcGive (10.4), but three different
> sets of standard errors:

[estimates follow]

This is a consequence of the fact that in gretl the scaling factor for the 
covariance matrix is T (sample size), whereas apparently eviews uses (T-p) 
(degrees of freedom). Not sure what PcGive does, but it would seem that a 
factor of (T-p-1) is used (maybe lags?).

Of course, all choices are asymptotically equivalent, but in this 
case the difference is noticeable because the sample size is rather 
small; maybe we could change policy in gretl and use (T-p) instead?

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti