[Gretl-devel] VECM restrictions and scaling

[Allin Cottrell]

On Thu, 13 Sep 2007, Sven Schreiber wrote:

> 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.

And thanks for the encouragement!

> > 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)

Yes, so far.

> > 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?

It's still straight T but I hope to work on that soon.

Allin.