It's not really Gretl but since gretl is R friendly ( via foreign statement ), you can use the R package tsDyn<http://cran.r-project.org/web/packages/tsDyn/index.html> which provide this kind of model and more....
Hope this help 2012/4/22 Anutechia Asongu <simplice_peace(a)yahoo.com> > Hi Gretl Users, > Could some gurus here(Allin, Riccardo, Sven, Artur > et al.) gist me on how to apply a STAR(Smooth Transition Autoregression) > model with Gretl? > Cheers > > ------------------------------ > *From:* Allin Cottrell <cottrell(a)wfu.edu> > *To:* Gretl list <gretl-users(a)lists.wfu.edu> > *Sent:* Friday, April 20, 2012 11:29 PM > *Subject:* Re: [Gretl-users] Restrict command after VECM > > On Thu, 19 Apr 2012, Sven Schreiber wrote: > > > On 04/19/2012 05:55 PM, Allin Cottrell wrote: > >> On Thu, 19 Apr 2012, Artur Tarassow wrote: > >> > >>> Since some while it is possible to do use the name of a variable for > the > >>> 'restrict' command after OLS. But this is not the case for the VECM > >>> command. Is there any reason to handle this case differently? > > > > I thought the only reason is that nobody has implemented it, but Allin > > seems to disagree a little: > > > >> Yes: typically a restriction on a system such as a VECM will > >> need two "subscripts" on the coefficients (although in the > >> case you give, of a VECM with a single cointegrating relation, > >> that happens not to apply). I guess we could support names in > >> that context but it doesn't seem as "natural" as in the > >> straightforward single-equation case. > > > > Hm, isn't it the case already that a single index can be used here to > > mean "variable number x in all cointegration relations"? > > You're right, I was forgetting that. So I've now enabled in CVS what > Artur wanted. > > > I tend to think that Artur's request is perfectly valid, but I don't > > think the example he's giving is the top most typical hypothesis. In > > other words, if some syntactic sugar were to be added to the > > Vecm-restrict apparatus, I think it would be worthwhile to also cover > > some other use cases. > > > > At the risk of sounding spoiled, some of those could be: > > > > * test of weak exogeneity of some variable, zero row in alpha: > 'a[myvar]=0' > > > > * test of whether variable number x is stationary, given the > > cointegration rank (one appropriate unit vector in beta, and that > > variable not appearing in the other relations) > > > > etc. > > > > I wonder whether there would be some way to implement this as a > > function/add-on/etc. without touching the C source? > > That's a good thought. It might need a little help from the C code > level; e.g. the ability to call up the list of endogenous variables > in the VECM, which I don't think is there right now. > > Allin > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users >
It's not really Gretl but since gretl is R friendly ( via foreign statement ), you can use the R package tsDyn which provide this kind of model and more....
Hope this help
Hope this help
2012/4/22 Anutechia Asongu <[email protected]>
Hi Gretl Users,Could some gurus here(Allin, Riccardo, Sven, Artur et al.) gist me on how to apply a STAR(Smooth Transition Autoregression) model with Gretl?Cheers
From: Allin Cottrell <[email protected]>
To: Gretl list <[email protected]>
Sent: Friday, April 20, 2012 11:29 PM
Subject: Re: [Gretl-users] Restrict command after VECM
On Thu, 19 Apr 2012, Sven Schreiber wrote:
> On 04/19/2012 05:55 PM, Allin Cottrell wrote:
>> On Thu, 19 Apr 2012, Artur Tarassow wrote:
>>
>>> Since some while it is possible to do use the name of a variable for the
>>> 'restrict' command after OLS. But this is not the case for the VECM
>>> command. Is there any reason to handle this case differently?
>
> I thought the only reason is that nobody has implemented it, but Allin
> seems to disagree a little:
>
>> Yes: typically a restriction on a system such as a VECM will
>> need two "subscripts" on the coefficients (although in the
>> case you give, of a VECM with a single cointegrating relation,
>> that happens not to apply). I guess we could support names in
>> that context but it doesn't seem as "natural" as in the
>> straightforward single-equation case.
>
> Hm, isn't it the case already that a single index can be used here to
> mean "variable number x in all cointegration relations"?
You're right, I was forgetting that. So I've now enabled in CVS what
Artur wanted.
> I tend to think that Artur's request is perfectly valid, but I don't
> think the example he's giving is the top most typical hypothesis. In
> other words, if some syntactic sugar were to be added to the
> Vecm-restrict apparatus, I think it would be worthwhile to also cover
> some other use cases.
>
> At the risk of sounding spoiled, some of those could be:
>
> * test of weak exogeneity of some variable, zero row in alpha: 'a[myvar]=0'
>
> * test of whether variable number x is stationary, given the
> cointegration rank (one appropriate unit vector in beta, and that
> variable not appearing in the other relations)
>
> etc.
>
> I wonder whether there would be some way to implement this as a
> function/add-on/etc. without touching the C source?
That's a good thought. It might need a little help from the C code
level; e.g. the ability to call up the list of endogenous variables
in the VECM, which I don't think is there right now.
Allin
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