panel data issues
by Sven Schreiber
Hello all panel-interested people,
while using gretl for teaching with panel data (which I hadn't done much
before) I noticed the following, let's say, interface nuisances compared
to the usual luxury gretl offers for time series:
1: The sample and/or range in the main window (bottom) are given as pure
index numbers, even if "panel data marker strings" (cf. user guide p.23)
are defined. At least for the time dimension it would be useful to show
the sample periods in a human-readable form (through the markers). Also,
I noticed that the period numbers shown do not always coincide with the
values of the "time" index variable, if subsampling is in effect. (Seen
in the CEL.gdt dataset after applying the sample restriction year>1970
1b: A slightly more general suggestion, also for non-panel data: The
active sample restriction criterion could be shown next to the resulting
active sample in the main window. (At least for simple restrictions,
maybe not for complex, multiple ones.)
2: Menu Sample -> Set range: Only the group range can be chosen, not the
periods. Actually, given the often arbitrary ordering of groups, this is
really the less useful dimension to choose a contiguous range from. (I
know I can use "set sample based on criterion" for periods, but that's
not the point.)
3: About pshrink(): A version that returns a full panel series (with
repeated values like pmean() etc.) could be useful -- practical example:
in growth regressions one needs the initial value of output-per-worker
as a regressor. Also maybe it should be called "pfirst()" or something
4: Time-constant variables: I'm not sure how to create variables that
only vary along the cross-section, like it is done with the built-in
pmean() etc. functions. Or how to append them (like the user guide p.114
"adding a time series", but along the other panel dimension).
5: Constant in a fixed-effects regression: I don't understand what gretl
reports as the global constant term in a fixed-effects model, and it
doesn't seem to be defined in the guide. It's also confusing that gretl
complains if one wants to discard the constant in the specification
dialog (when fixed effects are selected). (But obviously gretl
estimates the right thing as the comparison with explicit LSDV
regression shows, just the constant is mysterious -- even if it's the
average of the fixed effects it's not clear where the standard errors
6: Lags not showing in model spec dialog when sample is restricted to a
single period: If I restrict the CEL.gdt data with year==1985, I cannot
include any previously created lags (of y for example) in the
regression, because they don't show up in the variable selector. Because
the subsampled dataset is now treated as "undated", there's also no
"lags..." button in the dialog. -- Actually I don't understand why gretl
"temporarily forgets" the panel structure of the dataset when a single
period is active. It would seem less problematic to treat even a T=1
sample as a special case of panel data if the underlying dataset has a
panel structure; especially in conjunction with point 1 above about
showing the selected periods in the sample.
Ok, that was a long post, sorry, but still necessary I think.
8 years, 10 months
UI bug in Gretl CVS
by Logan Kelly
I have found some odd behavior with the Gretl CVS UI in Windows 8. First, I am running Windows 8 64 bit OS and Gretl 1.9.12cvs.
Odd behavior 1.
When I open a script file from the OS explorer window (assuming Gretl is already running), Gretl asks if I want a new session. If I answer yes, everything works fine. If I say no, nothing happens. I think it is supposed to load the script into the current session.
Odd behavior 2.
If I load a script from within the editor, i.e. File->Open, the currently open scrip disappears in favor of the newly opened script, i.e. tabs do not engage. I do believe I have set the option to use tabs to true.
I have not seen these reported on the lists serves, so this might be a Windows 8 problem.
9 years, 11 months
random effects probit
by Allin Cottrell
We're getting ready to unveil a new built-in estimator, namely
random effects probit (you use "probit" command with the
--random-effects option). A question arises: where should this
go under the /Model menu in the main gretl window?
It could go under Panel, or Limited dependent variable (or
possibly both, though that may not be a very happy precedent).
I guess my own preference would be to make random effects an
option in the model specification dialog that appears if you
/Model/Limited dependent variable/Probit/Binary
(with panel data only, of course). But we thought we'd ask if
anyone has strong feelings about this.
(My feelings are not very strong, but what I suggest above has
the attraction of mirroring the situation on the command
9 years, 12 months
restricted coeff (in system)
by Sven Schreiber
I'm noticing a slight inconsistency (without practical implications)
when I restrict coefficients in a system. Here's a partial output:
In the first equation the restricted term (b[1,4] = 0) shows up like this:
ECT2sub2_1 0.00000 2.76876e-09 2.716e-07 1.0000
while to give an example for the expected behavior I get in other
equations (b[2,2] = 0):
ECT1sub2_1 0.00000 0.00000 NA NA
I suspect there may be something buggy going on, since 1e-9 should be
bigger than machine precision (while for the t-ratio a value of 1e-7
just seems to indicate a side effect of a coeff around 1e-16 in
combination with that standard error value).
9 years, 12 months
Bug in mread() function
by Marcin Błażejowski
I found little bug in Octave->Gretl data transfer (via mread() function).
Suppose we create in Octave 10x2 matrix , write it into *.m file (via
gretl_export()) and read it by mread() function.
It looks like gretl reads data row by row instead of column by column.
Sample script below.
set echo off
set messages off
Ones = ones(10,1);
Twos = 2*ones(10,1);
Big = [ Ones Twos ]
Big = mread("@dotdir/Big.mat")
Web page (small) updates
by Henrique Andrade
Today I made some small modifications on the following files/pages:
Could you please upload them to the SourceForge server?