Thank you for your answer. Following the literature I adopted the following equation:
DLnTBt=a'+Σb'*DLnTBt-k+Σc'*DLnYt-k+Σd'*DLnYWt-k+Σe'*DPOSt-k+Σf'*DNEGt-k+θ0*LnTBt-1+θ1*LnYt-1+θ2*LnYWt-1+θ3*POSt-1+θ4*NEGt-1+εt where POSt and NEGt are the two variables obtained from the partial sum of positive and negative changes of the lnREX variable. The restrictions look as follow: ∑ e′ ≠ ∑ f ′ for short-run asymmetry; -θ3/θ0 ≠ - θ4/θ0 long-run asymmetric effects. To test these two inequalities I have to apply the Wald test. _______________________________________________ Gretl-users mailing list -- gretl-users@gretlml.univpm.it To unsubscribe send an email to gretl-users-le...@gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
