Re: [Gretl-users] multivariate autoregression

[Gregory Chaudoin]

You should include enough lags to get rid of autocorrelation, so that
shouldn't be an issue.

Chapter 25 of the Gretl User's Guide gives good examples on VARs.  The
script on var --lagselect (page 199) will be of use.  There is also a nice
user interface:  Models>Time Series>Vector Autoregressions.  Check is out
with the User's guide close by.


On Thu, Apr 4, 2013 at 12:43 PM, aymen kaabi <kaabiayman(a)gmail.com> wrote:

> good evening.
>
> i have project to do about multivariate autoregression using cross and
> auto correlation .
>
> i find the procedure
>
> GRETL_VAR 
> <http://gretl.sourceforge.net/API/old/gretl/gretl-libgretl.html#GRETL-VAR:CAPS>
>  *         gretl_VAR 
> <http://gretl.sourceforge.net/API/old/gretl/gretl-var.html#gretl-VAR>         
>                   (*int order*,
>                                                          *int *list*,
>                                                          *const double **Z*,
>                                                          *const DATAINFO 
> <http://gretl.sourceforge.net/API/old/gretl/gretl-libgretl.html#DATAINFO:CAPS>
>  *pdinfo*,
>                                                          *gretlopt 
> <http://gretl.sourceforge.net/API/old/gretl/gretl-libgretl.html#gretlopt> 
> opt*,
>                                                          *PRN 
> <http://gretl.sourceforge.net/API/old/gretl/gretl-PRN.html#PRN:CAPS> *prn*,
>                                                          *int *errp*);
>
> if this procedure do what i need.
>
> please explain to how can i use it.
>
> thanks fol all
>
>
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> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>

You should include enough lags to get rid of autocorrelation, so that shouldn't be an issue.

Chapter 25 of the Gretl User's Guide gives good examples on VARs.  The script on var --lagselect (page 199) will be of use.  There is also a nice user interface:  Models>Time Series>Vector Autoregressions.  Check is out with the User's guide close by.

On Thu, Apr 4, 2013 at 12:43 PM, aymen kaabi <kaabiay...@gmail.com> wrote:

good evening.

i have project to do about multivariate autoregression using cross and auto correlation .

i find the procedure 

GRETL_VAR *         gretl_VAR                           (int order,
                                                         int *list,
                                                         const double **Z,
                                                         const DATAINFO *pdinfo,
                                                         gretlopt opt,
                                                         PRN *prn,
                                                         int *errp);
if this procedure do what i need.
please explain to how can i use it.
thanks fol all

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