vartest: Libgretl Reference Manual

vartest

vartest

Functions

void	gretl_VAR_clear ()
void	VAR_fill_X ()
void	VAR_write_A_matrix ()
int	johansen_stage_1 ()
double	gretl_VAR_ldet ()
int	VAR_LR_lag_test ()
int	VAR_portmanteau_test ()
int	VAR_do_lagsel ()
int	VAR_wald_omit_tests ()
gretl_matrix *	VAR_coeff_matrix_from_VECM ()
gretl_matrix *	reorder_responses ()
gretl_matrix *	irf_bootstrap ()

Types and Values

#define

Description

Functions

gretl_VAR_clear ()

void
gretl_VAR_clear (GRETL_VAR *var);

VAR_fill_X ()

void
VAR_fill_X (GRETL_VAR *v,
            int p,
            const DATASET *dset);

VAR_write_A_matrix ()

void
VAR_write_A_matrix (GRETL_VAR *v);

johansen_stage_1 ()

int
johansen_stage_1 (GRETL_VAR *jvar,
                  const DATASET *dset,
                  gretlopt opt,
                  PRN *prn);

gretl_VAR_ldet ()

double
gretl_VAR_ldet (GRETL_VAR *var,
                const gretl_matrix *E,
                int *err);

VAR_LR_lag_test ()

int
VAR_LR_lag_test (GRETL_VAR *var,
                 const gretl_matrix *E);

VAR_portmanteau_test ()

int
VAR_portmanteau_test (GRETL_VAR *var);

VAR_do_lagsel ()

int
VAR_do_lagsel (GRETL_VAR *var,
               const DATASET *dset,
               gretlopt opt,
               PRN *prn);

VAR_wald_omit_tests ()

int
VAR_wald_omit_tests (GRETL_VAR *var);

VAR_coeff_matrix_from_VECM ()

gretl_matrix *
VAR_coeff_matrix_from_VECM (const GRETL_VAR *var);

reorder_responses ()

gretl_matrix *
reorder_responses (const GRETL_VAR *var,
                   int *err);

irf_bootstrap ()

gretl_matrix *
irf_bootstrap (GRETL_VAR *var,
               int targ,
               int shock,
               int periods,
               double alpha,
               const DATASET *dset,
               int *err);

Types and Values

N_IVALS

#define N_IVALS 3