Hi Jack,
Very nice explanation. I'm sure this point is obscure for most of the
applied econometricians.
I really understand the problem but this is exactly the kind of model I want
to explore.
I'm now working in writing a general procedure for this kind of estimation
using Gauss.
If it's work nicely I believe I can translate the code to GRETL and post it.
Cheers,
Rick.
--------------------------------------------------
From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it>
Sent: Sunday, May 31, 2009 8:46 AM
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] VEC Question
> On Fri, 29 May 2009, Ricardo Gonçalves Silva wrote:
>
>> Hi Sven,
>>
>> Nice. I need the estimates and the impulses responses.
>>
>> Thanks
>>
>> Ricardo
>
> I'm sorry if this is obvious to you, but since it isn't obvious in general
> I thought I'd post it to the list. The difficulty with this from an
> econometric viewpoint is that if you want to estimate a model like
>
> \Delta y_t = \alpha \beta' y_{t-1} + \Gamma y_{t-12} + u_t
>
> the problem of estimating \beta via ML is not trivial: the VAR
> representation of the above is a 13-order VAR which not only contains
> "holes", but also other constraints:
>
> y_t = A_1 y_{t-1} + A_2 y_{t-2} + ... + A_{13} y_{t-13} + u_t
>
> where
>
> (1) A_1 = I + alpha \beta'
> (2) A_{i} = 0 for i=2..11
> (3) A_{12} = -A_{13}
>
> The theoretical construction for the Johansen estimator assumes that the
> only constraint to the VAR representation is (1) (ok, deterministic terms
> aside), and the code is written on that basis.
>
> Riccardo (Jack) Lucchetti
> Dipartimento di Economia
> Università Politecnica delle Marche
>
> r.lucchetti(a)univpm.it
> http://www.econ.univpm.it/lucchetti
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