1:26 p.m.
dear Gretl team,
I noticed some problem using --no-df-corr in system using gretl 10.10.1
(built date 2015-04-04)
Let the Klein1 model and consider the Consumption equation
the command
estimate "Kl1" method=ols
give the following results
Equation 1: OLS, using observations 1921-1941 (T = 21)
Dependent variable: C
coefficient std. error t-ratio p-value
---------------------------------------------------------
const 16.2366 1.30270 12.46 5.62e-010 ***
P 0.192934 0.0912102 2.115 0.0495 **
P_1 0.0898849 0.0906479 0.9916 0.3353
W 0.796219 0.0399439 19.93 3.16e-013 ***
but the std. error reported above refer to an estimation with NO DF correction
(see Calzolari, 2012, MPRA Paper No. 64415, pag.34,
http://mpra.ub.uni-muenchen.de/64415/)
while
the command
estimate "Kl1" method=ols --no-df-corr
give
Equation system, Kl1
Estimator: Ordinary Least Squares
Equation 1: OLS, using observations 1921-1941 (T = 21)
Dependent variable: C
coefficient std. error t-ratio p-value
---------------------------------------------------------
const 16.2366 1.17208 13.85 1.09e-010 ***
P 0.192934 0.0820650 2.351 0.0310 **
P_1 0.0898849 0.0815592 1.102 0.2858
W 0.796219 0.0359390 22.15 5.59e-014 ***
it seems that the results are associated to the wrong option.
Please, check also with the results from a
ols estimation just on the consumption equation
thanks
Francesca
************************************************************
Francesca Di Iorio
Dipartimento di Scienze Politiche
Universita' di Napoli Federico II
via L. Rodino' 22
I-80138 Napoli
tel. 081-2538280
fax. 081-2537466
e-mail fdiiorio(a)unina.it
----
5x1000 AI GIOVANI RICERCATORI
DELL'UNIVERSITÀ DI NAPOLI
Codice Fiscale: 00876220633
www.unina.it/Vademecum5permille
4:34 p.m.
Am 06.07.2015 um 15:26 schrieb fdiiorio(a)unina.it:
I noticed some problem using --no-df-corr in system using gretl
10.10.1
(built date 2015-04-04)
Hold on a second...
estimate "Kl1" method=ols
...
coefficient std. error t-ratio p-value
---------------------------------------------------------
const 16.2366 1.30270 12.46 5.62e-010 ***
P 0.192934 0.0912102 2.115 0.0495 **
...
but the std. error reported above refer to an estimation with NO DF
correction
(see Calzolari, 2012, MPRA Paper No. 64415, pag.34,
http://mpra.ub.uni-muenchen.de/64415/)
Are you sure? (I haven't checked the paper.)
What I see in this case --where gretl is supposed to apply a
d.o.f.-correction as described in the guide -- is a bigger standard
error (e.g. 1.30) than below without a correction:
estimate "Kl1" method=ols --no-df-corr
coefficient std. error t-ratio p-value
---------------------------------------------------------
const 16.2366 1.17208 13.85 1.09e-010 ***
P 0.192934 0.0820650 2.351 0.0310 **
But this is right way, no? T-K instead of T in the denominator means
higher variance estimates.
So I think either there is some misunderstanding, or perhaps the paper
is wrong (in this detail).
cheers,
sven
6:59 p.m.
On Mon, 6 Jul 2015, fdiiorio(a)unina.it wrote:
dear Gretl team,
I noticed some problem using --no-df-corr in system using gretl 10.10.1
(built date 2015-04-04)
Let the Klein1 model and consider the Consumption equation
the command
estimate "Kl1" method=ols
give the following results
Equation 1: OLS, using observations 1921-1941 (T = 21)
Dependent variable: C
coefficient std. error t-ratio p-value
---------------------------------------------------------
const 16.2366 1.30270 12.46 5.62e-010 ***
P 0.192934 0.0912102 2.115 0.0495 **
P_1 0.0898849 0.0906479 0.9916 0.3353
W 0.796219 0.0399439 19.93 3.16e-013 ***
but the std. error reported above refer to an estimation with NO DF
correction
(see Calzolari, 2012, MPRA Paper No. 64415, pag.34,
http://mpra.ub.uni-muenchen.de/64415/)
No, the OLS standard errors reported by Calzolari are in fact
df-adjusted. Such standard errors are always larger than the
corresponding asymptotic ones.
Allin Cottrell
7:35 p.m.
yes thanks. mystery solved!
at pag. 34 there is the dof corrected in the rest of the paper no;
confirmed by
author.
thanks!
Quoting Allin Cottrell <cottrell(a)wfu.edu>:
On Mon, 6 Jul 2015, fdiiorio(a)unina.it wrote:
> dear Gretl team,
>
> I noticed some problem using --no-df-corr in system using gretl 10.10.1
> (built date 2015-04-04)
>
> Let the Klein1 model and consider the Consumption equation
>
>
> the command
>
> estimate "Kl1" method=ols
>
> give the following results
>
> Equation 1: OLS, using observations 1921-1941 (T = 21)
> Dependent variable: C
>
> coefficient std. error t-ratio p-value
> ---------------------------------------------------------
> const 16.2366 1.30270 12.46 5.62e-010 ***
> P 0.192934 0.0912102 2.115 0.0495 **
> P_1 0.0898849 0.0906479 0.9916 0.3353
> W 0.796219 0.0399439 19.93 3.16e-013 ***
>
>
> but the std. error reported above refer to an estimation with NO DF
> correction
> (see Calzolari, 2012, MPRA Paper No. 64415, pag.34,
> http://mpra.ub.uni-muenchen.de/64415/)
No, the OLS standard errors reported by Calzolari are in fact
df-adjusted. Such standard errors are always larger than the
corresponding asymptotic ones.
Allin Cottrell
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************************************************************
Francesca Di Iorio
Dipartimento di Scienze Politiche
Universita' di Napoli Federico II
via L. Rodino' 22
I-80138 Napoli
tel. 081-2538280
fax. 081-2537466
e-mail fdiiorio(a)unina.it
----
5x1000 AI GIOVANI RICERCATORI
DELL'UNIVERSITÀ DI NAPOLI
Codice Fiscale: 00876220633
www.unina.it/Vademecum5permille
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3 comments
3 participants
participants (3)
-
Allin Cottrell -
fdiiorio＠unina.it -
Sven Schreiber