On Mon, 20 Aug 2007, Summers, Peter wrote: > Do any of you have any experience using gretl for structural VAR > work?
Structural VARs are not yet supported as such, although I think Jack Lucchetti wrote a gretl script that headed in that direction. Hopefully, Jack will be back on the list before long, and he can surely offer more help than I. > On a related note, is there a way to get impulse responses from > a non-choleski decomposition? I'm thinking of something along > the lines of the "impulse" command in RATS: impulse(vcv=blah) > ... where 'blah' is my covariance matrix. Not via a basic command, at this point. However, you can get the companion matrix from a VAR, and you can get the contemporaneous covariance matrix, and you have a lot of matrix manipulation tools. To get the companion matrix: * estimate a VAR * matrix A = $compan (But in gretl prior to today's changes in CVS, and todays' Windows snapshot, "matrix A = $coeff" -- now $coeff gets you the regular coefficient matrix.) To get the contemp covariance: matrix V = $vcv Allin Cottrell
