[Gretl-users] VECM alpha restrictions

Allin Cottrell cottrell at wfu.edu
Mon Jan 10 14:01:52 EST 2011


Hello all,

Following from a bug report from Artur T, I've been examining the
handling of restrictions on the \alpha matrix in a VECM. Among
other things, I noticed that we've had the interpretation of the
row and column indices reversed, in the context of a restriction
such as

a[3,1] = 0

That is, we've read this as EC-term 3, equation 1, which is in
fact \alpha_{1,3}. This probably happened because for internal
purposes we represent the restriction in terms of a vector that
gets multiplied into vec(\alpha'). Nonetheless, it seems
like a definite bug to me, and it's now corrected in CVS (and
duly noted in gretl's backward-incompatibility log).

>From now on an expression such as "a[3,1]" in a VECM restriction
will be read as specifying \alpha_{3,1}, the coefficient on the
first EC term in the third equation.

Allin Cottrell


More information about the Gretl-users mailing list