On Sat, 16 Feb 2019, Sven Schreiber wrote: > Am 15.02.2019 um 23:21 schrieb Allin Cottrell: >> On Sat, 9 Feb 2019, Sven Schreiber wrote: > >>> It would be useful if the exact specification of the VAR could be read >>> off the $system accessor. Right now I only see the workaround to look >>> at the first column of the matrix $system.X. >> >> OK, I see what you mean. I've now added to the $system accessor for VARs >> and VECMs a 3-vector named "detflags" (deterministics flags). The first >> element is 1 if the specification contains a constant, 0 otherwise; the >> second is 1 if the --trend option is given, 0 otherwise; and the third >> is 1 if the --seasonals option is given, 0 otherwise. >> > > Thanks, Allin. I have to check (when the my version /snapshot is > updated) what happens in the VECM case. I don't remember exactly where > the list of restricted terms shows up in $system. (Or in $model?)
For a VECM $system bundle b, the following info is available: b.detflags (includes unrestricted terms only) b.xlist (unrestricted exogenous vars other than deterministics) b.rlist (restricted exog. vars other than deterministics) b.vecm_info.code xlist and rlist are present only if applicable. The "code" value is the Johansen case, numbered from 0 to 4: it should probably be called "jcase" and maybe should be 1-based? Allin
