[Gretl-users] VECM estimation

[Sven Schreiber]

Allin Cottrell schrieb:
> On Thu, 17 Aug 2006, john w wrote:

> 
> 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.
> 

Yes I also think it would be a fair amount of work.

What is not so difficult is to test homogeneous restrictions on alpha,
e.g. for weak exogeneity tests. Once I'm familiar with the new matrix
programming facilities in gretl, I might be able to contribute that
function.

I'm also interested in replicating the functionality of pcgive in terms
of general cointegration restrictions, and maybe I could help with
prototyping (I use numpy -- numerical python). But I don't have time
before October.

Cheers,
Sven