[Gretl-users] accessors for coint2 cointegration test or vecm command?

Allin Cottrell cottrell at wfu.edu
Wed Mar 14 14:21:55 EDT 2012


On Wed, 14 Mar 2012, Trevor Zink wrote:

> This is my first post to this list. Thanks for reading.

Welcome to the gretl list.

> I am interested in doing repeated simulations with the either the coint2 or
> vecm command to create a distribution of, say, the beta cointegrating
> vectors in order to compare them to a theoretical value. In order to do this
> several thousand times I obviously need a way to access the values that
> coint2 or vecm outputs and save them into a matrix or series, but I can't
> seem to find any $accessors to pull this information out.

The coint2 command doesn't offer much in the way of accessors, 
but for the vecm command, look up $jalpha, $jbeta and $jvbeta 
(all the accessors are listed in the Function reference). For 
an example of use see the supplied script denmark.inp (under 
/File/Script files/Practice file, and the Gretl tab).

Allin Cottrell


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