Riccardo Jack Lucchetti schrieb: > Sven, I'm cc-ing this to the developer list because I think it's the best > place for this discussion
I wasn't aware of this list, it's not on the web. > > On Wed, August 30, 2006 21:31, Sven Schreiber wrote: >>> the matrices S00 & co. are quite easy to build by combining lists, loop, >>> genr >>> and matrix functions; all in all, you need moment matrices of residuals. On >> Sure, but dealing with sample lengths, lagged differences, exogenous > variables etc. is not fun and it's already implemented in a nice dialog, so > why not use it? > > Well, because IMO it doesn't "feel" like a good idea to have too many > fetchable variables post-estimation. It's a balancing act here: a few things > would be simple to do in a script, but you're likely to use them a lot (think > $uhat), some other things would be more cumbersome (example: $jbeta) so we > might as well make them fetchable once estimation is over for the user's > convenience, even if you're unlikely to use them except in few special > situations. In my mind S00 & co. belong to neither group, but I'm open to be > convinced of the contrary. Right, I meant as a quick hack just for me to help, not as a real feature of gretl. > Please try to reproduce the Denmark example you find in Johansen's book. The > data are available as denmark.gdt among gretl example datasets. JMulTi seems > to do strange things with VECMs. I exported the denmark dataset to JMulTi > format via the new ad-hoc facility: then, I could reproduce the same results > we have in gretl for almost everything (descriptives, VARs, etc.) but VECMs > proved impossible. I understand you know the main developer of JMulTi > personally: it may be a good idea to ask his opinion if/when we're certain > that results are indeed different. A quick check doesn't show any problems, exactly the same output. I suspect that you get bitten by different conventions w.r.t. lag specification, deterministics etc. But I don't have Johansen's book with me here right now, so what's the exact specification you're having trouble with? > > If you could do the same with MicroFit too, that'd be great. > Sorry I don't have that. I meant only Jmulti and pcgive. -sven
