long_run
Computes the long-run relation of a VEC model, including theta, textbook and model half-lives, plus Gonzalo–Ng permanent/transitory decomposition and common-trend variance shares.
Instructions
C5 — The long run of the current VEC, read: theta (beta normalised, with
its sign: Y1 = theta' Y2 + a stationary error), and two half-lives, both
computed by sima because drvec computes neither — the TEXTBOOK one,
ln 0.5 / ln(1 - |alpha|) on the variable the relation is solved for
(orientation: exact only for one relation with no short-run dynamics),
and the MODEL's, the half-life of the equilibrium error beta'Y in the
fitted model's own response (the same weights as the level IRF; its norm
over the shocks, which does not depend on the Cholesky order). Then
Gonzalo and Ng's permanent/transitory decomposition: alpha_perp (the
common trends), the share of each level's forecast-error variance due to
the permanent shocks, and the self-check that a transitory shock has no
long-run effect. Point values: bands only through the bootstrap
(irf_bands). horizon: how far the responses go (0: 60 periods, or 8
years of seasonal data).
Tool call template
Replace each placeholder with a value matching the input schema. Only required parameters are included; add optional parameters as needed.
{
"id": 1,
"jsonrpc": "2.0",
"method": "tools/call",
"params": {
"arguments": {
"name": "<name>"
},
"name": "long_run"
}
}Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| name | Yes | ||
| horizon | No |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |