Sven, I'm cc-ing this to the developer list because I think it's the best place for this discussion
On Wed, August 30, 2006 21:31, Sven Schreiber wrote: >> the matrices S00 & co. are quite easy to build by combining lists, loop, genr >> and matrix functions; all in all, you need moment matrices of residuals. On > > Sure, but dealing with sample lengths, lagged differences, exogenous variables etc. is not fun and it's already implemented in a nice dialog, so why not use it? Well, because IMO it doesn't "feel" like a good idea to have too many fetchable variables post-estimation. It's a balancing act here: a few things would be simple to do in a script, but you're likely to use them a lot (think $uhat), some other things would be more cumbersome (example: $jbeta) so we might as well make them fetchable once estimation is over for the user's convenience, even if you're unlikely to use them except in few special situations. In my mind S00 & co. belong to neither group, but I'm open to be convinced of the contrary. >> Note that we can already do this via a LR test. > > Where is that documented? Well, it seems it isn't. :-( But basically, this is what "restrict" does after "vecm"; the corresponding GUI element is "Test/Linear restriction" from the VECM output window. It looks like the manual needs to be beefed up a little. Actually, a chapter on hypothesis testing wouldn't hurt. > >> While I tested this, I realised that I couldn't reproduce Johansen's results >> with JMulTi; either I'm missing something, or JMulTi's VECM estimation goes through a different algorithm from ours. We do VECMs as per Johansen's book; >> so does PcGive, and I believe there should be no differences between our results and what PcGive yields. > > I have all those programs, do you want me to test/confirm something? Please try to reproduce the Denmark example you find in Johansen's book. The data are available as denmark.gdt among gretl example datasets. JMulTi seems to do strange things with VECMs. I exported the denmark dataset to JMulTi format via the new ad-hoc facility: then, I could reproduce the same results we have in gretl for almost everything (descriptives, VARs, etc.) but VECMs proved impossible. I understand you know the main developer of JMulTi personally: it may be a good idea to ask his opinion if/when we're certain that results are indeed different. If you could do the same with MicroFit too, that'd be great. Riccardo "Jack" Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona
