[Gretl-users] Help - estimation of Profile likelihood function for TVECM

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Mon May 18 09:03:42 EDT 2015


On Mon, 18 May 2015, Miranda Svanidze wrote:

> To clarify my problem written in the previous email, I am adding results
> from Gretl.

I dn't understand why you need the --progressive flag. Is the following 
example of any help to you?

<hansl>
set echo off
set messages off

open AWM.gdt --quiet
series y = ln(YER)
series c = ln(PCR)
series z = y - c
diff y c

T = $nobs
series ll = NA

loop i=1..T --quiet
     series zp = z * (time < i)
     series zm = z - zp
     ols d_c 0 d_y zp(-1) zm(-1) --quiet
     ll[i] = $lnl
endloop

plot ll
     options time-series with-lines
end plot --output=display
</hansl>

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti at univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------


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