[Gretl-devel] Special restriction syntax in VECM doesn't work anymore

Allin Cottrell cottrell at wfu.edu
Tue Feb 9 11:25:24 EST 2016


On Tue, 9 Feb 2016, Sven Schreiber wrote:

> Hi,
>
> I've run into a "matrix not conformable" problem, using the example 
> restriction code from ch. 27 (p. 237 in my A4 PDF version dated January 
> 2016):
>
> <hansl>
> open australia
> list vecmvars = PAU PUS E IAU IUS
> vecm 2 4 vecmvars
>
> # from here on code snippet from ch. 27 in user guide
> matrix I4 = I(4)
> matrix vR = I4**(I4~zeros(4,1))
> matrix vq = mshape(I4,16,1)
> restrict
> R = vR
> q = vq
> end restrict
> </hansl>
>
> This is on gretl 2016a, and the hansl code where I noticed the problem first 
> is not new, so I'm relatively sure that this used to work last year (as it 
> should).
>
> Any ideas?

Are you sure this worked before? I just tested with gretl 1.9.14 
(2013-11-21) and it failed in the same way (supposed 
non-conformability).

The test that's generating the error is as follows:

1. Is cols(R) equal to the total number of elements of beta and alpha 
("gmax"), in the system? In this case the answer is No, since cols(R) 
= 20 and gmax = 40.

2. If No, is cols(R) equal to the number of beta rows (here, 5)? No 
again, so fail.

The missing test seems to be: does cols(R) equal the full number of 
elements in the beta matrix? (Which it does here.) If so, go ahead. 
I'm inserting this test in git; it would be good if it gets some 
testing.

Allin



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