Yes, that is how I think I would attack it. I think a simple solution would be to create a function that takes estimated parameters and writes them to a text file which BIMETS will read as an identity. Then I think one would only need to pass this and the data needed for the model (endogenous and exogenous variables) passed to R in a format that can be coerced into a what BIMETS calls a TIMESERIES object - something easily achieved in the R environment.
One challenge would be translating what is an acceptable way to express an equation in GRETL into something that can be read in BIMETS for example: "ln (Y/Y(-1)) = coef(1)*(ln(Y(-1))-coef(2)*ln(X(-1)))+coef(3)*ln (Y(-1)/ Y(-2)) + coef(4)*ln(X/X(-1))" While BIMETS it would be something like: "TSDELTALOG(Y) = coef(1)*(TSLAG(LOG(Y),1)-coef(2)*TSLAG(LOG(X),1))+coef(3)*TSDELTALOG(Y,1) + coef(4)*TSDELTALOG (X)" So I think a small task would be to parse a GRETL acceptable language (I'm not sure if my equation above is an acceptable format for GRETL, but I hope illustrates the point?) into something readable by BIMETS, i.e. replace the (-1) with TSLAG etc and hard code the coefficient estimates from various estimation outputs in the GRETL environment to the text file. The alternative would be to adopt the BIMETS syntax from the outset, then it one would only need to hard code the coefficient values to the model text file. However, that would require users to learn another syntax on top of the GRETL / HANSL environment. I might try and do this over the coming week or so (my day job however is rather demanding, so will see how I go with time). Thanks Adam -----Original Message----- From: Sven Schreiber <sveto...@gmx.net> Sent: Sunday, 13 September 2020 11:33 PM To: gretl-devel@gretlml.univpm.it Subject: [Gretl-devel] Re: Simulate simultaneous equation model Am 12.09.2020 um 23:59 schrieb Adam Elderfield: > Hi Sven, > > The BIMETS package is really great. That might be a good starting point. > Although, and maybe I am wrong here, I would consider the parsing of > the model text one of the main programming challenge, I'm not sure > that would be any easier porting between two languages? Or would you > write your model file in BIMETS syntax, have your regression etc in > Gretl, which then are passed to the text file, and this data and text > are then passed to R? > I wasn't familiar with the bimets package until you mentioned it; now I've quickly browsed its vignette. I agree that doing the estimation in gretl makes sense, since that is what we already have, and possibly even with more options than what's present in bimets. The trick would then be to "inject" the estimation results into bimets, such that the coefficients and so on are already given and no redundant estimation has to be done there. (Of course if it's just the OLS option then any redundancy would be small, but more general estimation approaches are reasonable and needed.) The point would then be to take advantage of the simulation features of bimets, which is what we don't have in gretl. Perhaps the author Andrea Luciani would be ready to help us by describing the interface through which bimets would treat the estimation as done and how to specify the results from that step exactly. (Vectors/Matrices with certain names and so on.) The nice thing about bimets is that it doesn't depend on other packages apparently, so no dependency chain issues would arise. cheers sven _______________________________________________ Gretl-devel mailing list -- gretl-devel@gretlml.univpm.it To unsubscribe send an email to gretl-devel-le...@gretlml.univpm.it Website: https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgretlml.univpm.it%2Fpostorius%2Flists%2Fgretl-devel.gretlml.univpm.it%2F&data=02%7C01%7C%7C35b21cf02eea47dc7dd908d857e992bc%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637356007982509400&sdata=GnvoCa10V0p4dW4IeC9%2BY7PA968rMexQnRZuD8bK8uk%3D&reserved=0 _______________________________________________ Gretl-devel mailing list -- gretl-devel@gretlml.univpm.it To unsubscribe send an email to gretl-devel-le...@gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-devel.gretlml.univpm.it/
