[Gretl-users] VAR with subset restrictions

[Muheed Jamaldeen]

Hi all,
Is there a quick way to code the following without individually specifying
each right hand side lag?

Y = Y(-1) Y(-2) X(-1) X(-2)
X = Y(-1) Y(-2) X(-1) X(-2)

I ask this because I have a large model with four lags. So I was wondering
if there is a quick way to do something like the following

Y = Y(-1 to -2) ....
X = Y(-1 to -2) ....

I've been using seemingly unrelated regressions (sur) method and system
command.

Cheers,

Mj

Hi all,

Is there a quick way to code the following without individually specifying each right hand side lag?

Y = Y(-1) Y(-2) X(-1) X(-2)

X = Y(-1) Y(-2) X(-1) X(-2)

I ask this because I have a large model with four lags. So I was wondering if there is a quick way to do something like the following

Y = Y(-1 to -2) ....

X = Y(-1 to -2) ....

I've been using seemingly unrelated regressions (sur) method and system command.

Cheers,

Mj