Am 14.09.2025 um 12:29 schrieb Riccardo (Jack) Lucchetti:
On 13/09/2025 14:52, Artur T. wrote:
I would like to retrieve the long-run impact matrix, called "C" in
Johansen's jargon.
After estimating a vecm, there is item "C". Is this object the matrix
I am looking for (I could not find anything in the docs)?
No, that's the Cholesky factor of the residual covariance matrix.
Furthermore, in a recent paper by Juselius, she reports standard
errors for C. Is this information also stored in the system bundle?
That matrix is referred to with different letters in different
sources. For example, Kilian & Lütkepohl use the letter $\Xi$. Its
calculation is not very difficult, given the information contained in
the $system bundle you get out of the "vecm" command. Its asymptotic
distribution, however, is a bit more intricate. It was derived by
Paolo Paruolo in https://www.jstor.org/stable/pdf/3532701.pdf., but
you can also find it in Søren's 1995 OUP book (section 13.5).
A function package doing all this would be very welcome 😉
Ahem, I'm pretty sure that at least some of that stuff is in our SVAR
addon, no? Please check out the "lrmat" object in the model bundle after
estimating the VECM not with gretl's core vecm command, but with the
addon. See also appendix D of the SVAR documentation, along with section
7 there.
Of course that's for identified shocks, even if the identification is
simple like Choleski. If you really want to have the impact matrix of
the reduced-form errors, it's a bit different. I don't remember what's
in SVAR for this. Maybe it could also be "tricked" into interpreting the
reduced-form innovations as the structural ones.
(BTW, it seems that in the current SVAR doc we have a bunch of
superfluous literal backslash characters appearing. I guess that's
fallout from the attempt to have searchable underscore characters from a
while ago.)
cheers
sven
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