[Gretl-users] ECM

Yuniarto Hadiwibowo yhadiwibowo at yahoo.com
Mon Dec 8 09:23:43 EST 2008


Thank you very much.

Yuniarto Hadiwibowo



----- Original Message ----
From: Allin Cottrell <cottrell at wfu.edu>
To: Gretl list <gretl-users at lists.wfu.edu>
Sent: Monday, December 8, 2008 12:43:53 PM
Subject: Re: [Gretl-users] ECM

> I'd like to know how to solve this ECM equation in Gretl:
> dy = b[1] + b[2] dx + b[3] ( y(-1) - b[5] x(-1) )
>
> How to get coefficient, t-value, and p-value of b[5] itself?

It's a nonlinear model; you can use nls.

<script>
open data10-5
diff calwage uswage
lags 1 ; calwage uswage
ols d_calwage const d_uswage calwage_1 uswage_1
scalar b1 = $coeff(const)
scalar b2 = $coeff(d_uswage)
scalar b3 = $coeff(calwage_1)
scalar b5 = 1
nls d_calwage = b1 + b2*d_uswage + b3*(calwage_1 - b5*uswage_1)
deriv b1 = 1
deriv b2 = d_uswage
deriv b3 = calwage_1 - b5*uswage_1
deriv b5 = -b3*uswage_1
end nls
</script>

Allin Cottrell


      


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