Hi,
this is about VECM details at the scripting level. Consider the example
at the bottom of this message. Typically $jvbeta (or equivalently
$system.vecm_info.Bvar) has as many rows/cols as the number of free
long-run parameters. However, this seems to change when additional
(over-identifying) restrictions are imposed. Is this a bug or a feature?
And BTW, as a side note or for future reference: $system.vecm_info.Bse
(having the same shape as Beta and showing the standard errors) works
fine with additional restrictions. Another remark: Some members of the
sub-bundle $system.vecm_info are only included when non-empty, such as
rlist, xlist, and also $jvbeta. I'm just stating this as a fact, so in
general one would have to check with exists() or inbundle() whether
they're there, instead of checking with nelem() or so.
thanks
sven
-------
<hansl>
open denmark
vecm 2 2 LRM LRY IBO ; null ; IDE # IDE is restricted exog.
eval $jvbeta # gives 4 x 4, corresponding to free params in beta
restrict
b[1,4] = 0 # non-normalization additional restriction
# so only 3 free params remaining
b[1,1] = 1
b[1,2] = 0
b[2,1] = 0
b[2,2] = 1
end restrict --full
eval $jvbeta # gives 8 x 8, with many zeros
# and 9 = 3 * 3 non-zero (symmetric) entries
eval $system.vecm_info.Bvar # the same, expected (kind of)
</hansl>
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