[Gretl-devel] VECM restrictions and scaling

[Sven Schreiber]

Allin Cottrell schrieb:
> I've now implemented an algorithm for removing then replacing 
> scale factors in a set of VECM restrictions.  (Thanks, Sven, for 
> the pointers.) Testing so far shows a big improvement in 
> performance, and the problems of initialization mentioned in my 
> document from August seem to be solved.
> 

That's great news! I'm really happy about the speed at which this new
feature takes shape, thanks very much.

> I'll set out the algorithm in detail so people can spot any 
> problems and suggest improvements.
> 

[...]
Well I'd say if it works in a number of test cases, it can't be all that
wrong. I will do some testing with the latest snapshot in the next
couple of days as well. I assume that it must be done via a script and
the syntax is like in the previous examples, right?

Also still w/o restricted exogenous variables? (just checking, not pushing)

> 
> We then recompute the relevant blocks of the observed information 
> matrix using the rescaled beta and alpha, and I think the variance 
> comes out right.

I will test that as well (i.e. compare results with PcGive). Is the
variance denominator T-c now or do I have to take into account that
difference?

cheers,
sven