df question for modtest --autocorr after tsls
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Dear all,
Gretl output makes a reference to Gogfrey(1994)
for Pseudo-LMF statistics.
It says (p. 533)
As a finite sample adjustment,
the tests are implemented in section IV
by comparing g-1 IVLR_j, g-1 IVLM_J and
g-1 IVWD_j to a right-hand-tail critical value of
the F(g, T - k - g) distribution, j = 0, g.
Here k is the number of rhs variables in
the original model, and g is the number
of lagged uhat's.
To reproduce:
open denmark.gdt
tsls LRM 0 LRY ; 0 IBO IDE
modtest --autocorr 4
We see
Test statistic: Pseudo-LMF = 13.186979,
with p-value = P(F(4,53) > 13.187) = 2.3e-07
I.e. gretl uses F(g, T - k ) instead of F(g, T - k - g)
Is this a bug, or there is a newer corrected
reference?
Oleh
Am 18.09.2016 um 13:00 schrieb oleg_komashko(a)ukr.net:
Dear all,
Gretl output makes a reference to Gogfrey(1994)
for Pseudo-LMF statistics.
I.e. gretl uses F(g, T - k ) instead of F(g, T - k - g)
Is this a bug, or there is a newer corrected
reference?
I haven't looked at the cited paper, but whether small-sample
adjustments are used or not is open to debate I guess, especially for
asymptotically justified estimators. But I agree that it should be
transparent at least.
cheers,
sven
Dear Sven, Dear all
This is the script to clarify the question
(stupid model, just to illustrate quickly)
set echo off
set messages off
open denmark.gdt -q
tsls LRM 0 LRY; 0 IBO IDE -q
modtest --autocorr 4
# F(4,53) = 13.186979
uhat = $uhat
list luhat = lags(4,uhat)
loop foreach i luhat -q
z$i=misszero($i)
endloop
list zhat = zuhat_*
tsls LRM 0 LRY zhat; 0 IBO IDE zhat -q
# by hand
omit zhat --test-only # 2-nd df differs from 'modtest' results
# by hand, asymptotic version
omit zhat --test-only --chi-square
# F(4, 49) = 13.186979
## there are two related but different questions:
## 1) whether to include a new option to modtest: --chi-square
## 2) what is correct: F(4,53), or F(4, 49)
Oleh
18 вересня 2016, 19:19:30, від "Sven Schreiber" <svetosch(a)gmx.net>:
Am 18.09.2016 um 13:00 schrieb oleg_komashko(a)ukr.net:
> Dear all,
> Gretl output makes a reference to Gogfrey(1994)
> for Pseudo-LMF statistics.
> I.e. gretl uses F(g, T - k ) instead of F(g, T - k - g)
>
> Is this a bug, or there is a newer corrected
> reference?
I haven't looked at the cited paper, but whether small-sample
adjustments are used or not is open to debate I guess, especially for
asymptotically justified estimators. But I agree that it should be
transparent at least.
cheers,
sven
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Sven Schreiber