--robust option not documented in 'panel' command
by Sven Schreiber
Hi,
I just read in the manual (and saw in the GUI dialog) that there are
robust standard errors for the panel fixed effects estimator.
Shouldn't that be also documented in the built-in command reference for
the panel command? I mean it's ok to refer to the manual for details,
but '--robust' should at least be included in the options list, no?
thanks,
sven
15 years, 11 months
the arbond GUI dialog...
by Sven Schreiber
... doesn't seem to remember the settings (AR, lagorder, time dummies)
thanks,
sven
15 years, 11 months
other cosmetic issues
by Sven Schreiber
FWIW:
* the time dummies in fixed effects ("dt_1") are labeled differently
from arbond ("T1")
* the tab-key or arrow-key circulation order is odd in the dialog how to
interpret a dataset (undated, time series, panel)
cheers,
sven
15 years, 11 months
bug with missings, dummies (and panel?)
by Sven Schreiber
Hi,
I discovered what's IMHO a relative severe bug (severe because it can go
unnoticed and would lead to rubbish afterwards):
Missing values are not propagated when multiplying dummy variables. Example:
open greene14_1
series check1 = (Q>100)
series check2 = zeromiss(LF <0.5)
series checkmult = check1*check2
and 'checkmult' should have missings where check2 has them but it doesn't.
I discovered it in a panel context but I haven't tested whether it's
more general than that.
thanks,
sven
15 years, 11 months
NA and nan: next steps
by Allin Cottrell
If we want to distinguish between true NAs and nan/inf (as we
probably should), some other design questions come up, as a
consequence of the fact that we would be allowing non-finite
values in series and scalar variables. (Unless, that is, we make
it an error to put non-finite values into such variables.)
I presume that in simple, per observation, calculations such as y
= log(x) or y = x*z we'd want to let IEEE rules prevail, but what
about more complex calculations?
At present we automatically exclude observations with NAs from
regression calculations, means and variances and so on. Should we
do the same for nan/inf, or should we let IEEE rules prevail -- or
should we add a "set" switch to control this?
A practical use case is this:
series lx = log(x)
ols y 0 lx
where the series x contains non-positive values. Right now the bad
log x values are converted to NA and skipped. If we leave them as
nan or -inf then what should we do?
Allin
15 years, 11 months
Re: [Gretl-devel] bug with missing dummies?
by Lee Adkins
Hi all,
Although the logic of what Jack says is valid, I think the current
implementation is a bit confusing--basically because it's unexpected. I
can't think of another program that does this, though I'm sure there must be
some. The others that I use (R, Stata, Gauss) don't.
Since the coding of dummy variable is arbitrary (e.g., you could use 1 -1)
why should zero be treated differently from all other scalars and real
numbers? I think it could lead to some unexpected results (for those who
don't dive into the manual). For the sake of consistency I would prefer
that all numbers be treated alike.
On the other hand if the zero*NA were treated as the exception and handled
with a special command, that would make more logical sense--at least to me.
I find the current implementation is kind of confusing, especially for
gretl's main audience (non programmers like me) ans students coming from
other programs that treat the interaction likewise (e.g., Stata and R).
Just my 2 cents, but I think 'm with Berend on this one....
Cheers,
Lee
--
Lee Adkins
Professor of Economics
lee.adkins(a)okstate.edu
learneconometrics.com
15 years, 11 months
several 'uhat'
by Sven Schreiber
Hi again,
it just happened to me that after repeatedly saving residuals (from
different VARs) via the GUI with name 'uhat5' I got several series named
'uhat5'. I thought they would get overwritten instead. I didn't know
that having several variables with the same names (althought different
Id numbers) is possible. Is that behavior a bug?
(cvs from last month running here)
thanks,
sven
15 years, 11 months
(further) aliases for series, matrix etc.
by Sven Schreiber
Hi,
just a thought:
There was the idea that maybe (just maybe) it could make sense to
enforce clear programming by requiring to use 'matrix', 'series' etc.
instead of the generic 'genr', at least in scripts.
However, when doing that (as I do) the long keywords appearing almost
everywhere are a bit annoying. So what about introducing 'mat' as alias
for 'matrix', 'ser' for 'series', 'sca' for 'scalar', 'str' for
'string'; 'list' could stay like that I guess, or maybe to have 3-letter
conformity also introduce 'lis'.
As I said, just a thought...
cheers,
sven
15 years, 11 months
multivariate lrvar
by Sven Schreiber
Hi,
when I wanted to use lrvar() I discovered it's only for single series.
So I ported some code to gretl to estimate the long-run covariance
matrix for multivariate series (along with a helper function
autocovar()). I haven't tested it yet, probably some bugs remaining.
Actually I wanted to ask whether it would make sense to allow the
multivariate case in built-in lrvar()?
thanks,
sven
-----------
function matrix autocovar(matrix indatamat, int lag[0], bool demeaned[0])
/* computes the autocovariance at lag "lag" for a multivariate time
series
returns a NxN covariance matrix
*/
N = cols(indatamat)
T = rows(indatamat)
if demeaned=0
matrix datademeaned = cdemean(indatamat)
else
matrix datademeaned = indatamat
endif
matrix result = transp(datademeaned[lag+1:T,])*datademeaned[1:T-lag,]
matrix result /= T
return result
end function
function matrix longrunvar(matrix indatamat, bool demeaned[0], lagtrunc[4])
/* indatamat is a TxN time series matrix
Bartlett window
returns an NxN matrix (spectral density at frequency zero)
*/
N = cols(indatamat)
matrix result = zeros(N,N)
loop for tau=1..lagtrunc
matrix Gamma = autocovar(indatamat,tau,demeaned)
# positive and negative tau range together:
matrix result += (1 -tau/(lagtrunc+1)) * (Gamma+Gamma')
endloop
# add the tau=0 part:
matrix result += autocovar(indatamat,0,demeaned)
return result
end function
15 years, 11 months
time trend variable
by Sven Schreiber
Hi,
is 'series time' supposed to work as an alias for 'genr time'?
Does it work for you? (It doesn't seem to work here.)
thanks,
sven
15 years, 11 months
