Dear all/Allin,
I am trying to follow Allin's suggestion while resampling data and
estimating the var with lagged exogenous variables. However, I am getting
an error "ambiguos matrix index".
I am not able to include the effect of the exogenous varibles.. the code I
am running now is.
> D=max(ab
On Tue, Jun 18, 2013 at 10:28 AM, Gabriela Nodari
wrote:
> Dear Allin,
>
> Thanks for your kind help. The results do not change too much.
> Meanwhile, I have noticed that when estimating the var via menu, when I
> specify the exogenous variables, it considers only the contemporaneous
> value of
Dear Allin,
Thanks for your kind help. The results do not change too much.
Meanwhile, I have noticed that when estimating the var via menu, when I
specify the exogenous variables, it considers only the contemporaneous
value of the exogenous observable. And it is not possible to specify lags.
I
On Mon, Jun 17, 2013 at 7:30 AM, Gabriela Nodari
wrote:
> Yes, the code works! but I'm not sure the result is correct. [...]
> here is the complete code:
>
> D=max(abs(IP))
> tcount=0
> y = 8 13 12 1 2 3
> y1 = 8 13 12 1 2
> x = 3
>
> #MODEL 1
> var 6 y --silent
> matrix Ac = $compan[1:6,]
> matr
Yes, the code works! but I'm not sure the result is correct..
In practice, what I am trying to do is to compare two VAR models. I have
estimated one model with 6 variables, and the other one with 5 variables +
an exogenous. (the 6 variables are the same).
I have then computed then IRFs, and calcul
On 17-06-2013, at 13:45, Gabriela Nodari wrote:
> right!! thanks..
>
> Now the problem is with
>
> set horizon = 60
>
> error message: syntax error in command line...
>
The Gretl Command Reference A4 English version for 1.9.12 (March 2013) on page
57 gives an explicit example for set hor
Nice that it works now ;-)
Artur
2013/6/17 Gabriela Nodari
> ok, i guess it was because I haven't define the variable at the
> beginning.. now should be ok...
>
> Thanks again.
> Gabriela
>
>
> 2013/6/17 Gabriela Nodari
>
>> Ok!! thank you so much!!!
>>
>> Now I have a problem with the last l
ok, i guess it was because I haven't define the variable at the beginning..
now should be ok...
Thanks again.
Gabriela
2013/6/17 Gabriela Nodari
> Ok!! thank you so much!!!
>
> Now I have a problem with the last line...
>
> tcount += (Dsim > D)
>
> error: unknown variable name in command..
>
>
Ok!! thank you so much!!!
Now I have a problem with the last line...
tcount += (Dsim > D)
error: unknown variable name in command..
2013/6/17 Artur Tarassow
> It should be simply
> set horizon 60
>
>
> 2013/6/17 Gabriela Nodari
>
>> right!! thanks..
>>
>> Now the problem is with
>>
>> set h
It should be simply
set horizon 60
2013/6/17 Gabriela Nodari
> right!! thanks..
>
> Now the problem is with
>
> set horizon = 60
>
> error message: syntax error in command line...
>
>
> 2013/6/17 Artur Tarassow
>
>> You should delete the space in "var p y -- silent". So it should be "var
>> p
right!! thanks..
Now the problem is with
set horizon = 60
error message: syntax error in command line...
2013/6/17 Artur Tarassow
> You should delete the space in "var p y -- silent". So it should be "var p
> y --silent" instead.
>
> Artur
>
>
> 2013/6/17 Gabriela Nodari
>
>> Dear all,
>>
>
You should delete the space in "var p y -- silent". So it should be "var p
y --silent" instead.
Artur
2013/6/17 Gabriela Nodari
> Dear all,
>
> I have run the varsimul() function and it works well!
>
> Now I am having some problems to estimate the var with simulated data..
>
> The code I am ru
Dear all,
I have run the varsimul() function and it works well!
Now I am having some problems to estimate the var with simulated data..
The code I am running is the following:
scalar p = 6
list y = 8 13 12 1 2 3
var p y -- silent
matrix Ac = $compan[1:6,]
matrix U = $uhat.+$coeff[1,]
matrix y0
Thank you very much! I will give a look to the varsimul function!!
On 14/06/2013 8:40 PM, "Allin Cottrell" wrote:
> On Fri, 14 Jun 2013, Gabriela Nodari wrote:
>
> > I would like to obtain simulated data by bootstrapping the residuals of a
> > VAR model. I have gave a look to the gretl guide, and
Dear gretl users,
I would like to obtain simulated data by bootstrapping the residuals of a
VAR model. I have gave a look to the gretl guide, and I found something
related to resampling and bootstrapping (section 7.4), actually, I would
like to adapt the following example - 7.1 in the guide - (wi
On Fri, 14 Jun 2013, Gabriela Nodari wrote:
> I would like to obtain simulated data by bootstrapping the residuals of a
> VAR model. I have gave a look to the gretl guide, and I found something
> related to resampling and bootstrapping (section 7.4) [...]
Check out the varsimul() function. Here's
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