# Replicate empirical results in section 5 of Boswijk and
# Doornik, Statistica Neerlandica, 2004, pp. 440-465.

open hendry.gdt

# For compatibility, don't use the gretl-standard Phillips
# normalization.
set vecm_norm diag

# set the sample and estimate the unrestricted VECM
smpl 1964:3 1989:2
vecm 2 2 mp y Dp R ; Dout Doil --crt 

# alpha restriction (p. 458): weak exogeneity of
# inflation and interest-rate differential
restrict
  a[3] = 0
  a[4] = 0
end restrict -v

# beta restriction (p. 459)
restrict
  b[1,1] = 1
  b[1,1] + b[1,2] = 0
  b[1,5] = 0
  b[2,2] = 1
end restrict -v 

# beta and alpha jointly restricted (p. 460)
restrict
  b[1,1] = 1
  b[1,1] + b[1,2] = 0
  b[1,5] = 0
  b[2,2] = 1
  a[1,2] = 0
  a[1,3] = 0
  a[1,4] = 0
end restrict -v