[Gretl-users] VECM estimation

[Allin Cottrell]

On Thu, 17 Aug 2006, john w wrote:

> gotta one request about VECM estimation. Once, you said that you will 
> finished VECM estimation in gretl i.e. that it will be possible to impose, 
> not only to test, restrictions on alpha and beta space.
> Also, Jack said that it will include the possibility to check Granger 
> causality in VECM.
> Maybe I'm a little bit pushy but when can this be expected?

I would guess, by the end of this year.

At present we have the ability to test homogeneous restrictions 
on beta, the cointegrating vector(s), only -- either using the 
GUI or the "restrict" command following a vecm.  Thanks to a 
pointer from Sven I now have a reasonable idea of how to proceed 
with adding more general tests on both beta and alpha (the 
"adjustments" vector), at least in principle.  But it's a fairly 
substantial task.

Allin.