On Mon, 14 Sep 2020, Sven Schreiber wrote:
I'd even say you can go a long way with linear behavioral systems in the sense that some variables only appear in logs (including log-differences as growth rates) and others only in raw levels (including absolute differences, e.g. for interest rates). This would be less general than your example above where x and y appear both in levels as well as in logs. Then you could estimate it in gretl as a system directly -- OK you can't do FIML because the non-linear identities linking the logs and the levels are not allowed. But that's not too bad IMHO.
I have the impression it wouldn't be too difficult to support nonlinear identities (though maybe that's just because I haven't fully thought it out). It would require extension of the id_atom struct in lib/src/system.c: besides series ID and "op" (plus/minus) we'd a need a "transform" element (e.g. log).
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