[Gretl-users] Creating cointegrated series

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Thu Mar 8 02:22:34 EST 2012


On Wed, 7 Mar 2012, John C Frain wrote:

> 2) Consider simulating the model in VECM format.  Otherwise I see no
> problem with your approach.

Better still IMO: cast your model in VAR (levels) format and then use the 
varsimul() function; there will be some series/list/matrix conversions to 
do, but it's a nicely compact and decently efficient way of getting the 
job done.


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti


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