[Gretl-users] VECM estimation

[Allin Cottrell]

On Thu, 31 Aug 2006, I wrote:

> Test 2: The real exchange rate is stationary, or beta is
> proportional to (1, -1, -1)'.  In gretl we do
>
> restrict
>  b1 - b2 = 0
>  b1 - b3 = 0
> end restrict

Hmm, that would not be correct.  There's now a correct version 
of the hamilton VECM script in gretl CVS.  The test above should 
be:

restrict
   b1 + b2 = 0
   b1 + b3 = 0
end restrict

Allin.