[Gretl-users] select the sample in a function

artur tarassow artur.tarassow at googlemail.com
Wed Jan 19 07:04:22 EST 2011


Hello gretl community,

I am just writing a function for estimating the test statistics for
the Johansen cointegration test recursively over time. So I have to
define a base sample which is taken for the initial estimation and a
horizon over which to add observations each round. I did not find
anything which refers to this problem. I was thiking to use a string
but am not sure how to do this there.

ATM I've got something like:

function matrix joh_coint_exog (scalar model "1=no exogenous variables, \
  2=only unrestricted exogenous, 3=only restricted exogenous,\
  4=unrestricted and restricted exogenous", scalar p "lag length",\
  list Y "List of endogenous", list X "List of unrestricted \
  exogenous", list R "List of weakly exogenous", \
  scalar case "1=nc, 2=rc, 3=default, 4=crt, 5=ct")

Setting the base and recursive samples is still needed. Does anybody
know how to implement these things?


Best,
Artur


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