On Thu, 6 Oct 2011, Allin Cottrell wrote: > On Thu, 6 Oct 2011, artur bala wrote: > >> Le 05/10/2011 22:03, Riccardo (Jack) Lucchetti a écrit : >>> but I don't think that anyboby has ever complained about the "vecm" >>> command being slow, right? >> indeed it isn't! but plotting the combined impulse responses with their >> confidence error is somewhat slow! Maybe this is more a gnuplot concern >> than gretl's and I don't know if it can be fixed! > > That's slow because it depends on a complicated bootstrapping routine. It > could maybe be tweaked a little for speed but basically it's just an > inherently time-consuming operation: > the VECM has to be estimated hundreds of times.
Hmmm, this case may make it worthwhile. The speedup I had in mind was to coalesce the two preliminary regressions into one. Those regressions have the same explanatory variables, which are the lagged differences (plus maybe some extra stuff). For a large number of lags, the matrix that has to be inverted may be in the order of 20-30 rows/columns, so doing it twice may make for a nice speedup. Even if we managed to shave off a 10% of the total CPU time, that may be noticeable when bootstrapping. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
