March 2006 - Gretl-users - gretlml.univpm.it

by John Paravantis PhD

First of all, kudos to Allin and the development team for making an ARIMA (as opposed to ARMA) routine available in the latest version of gretl! I personally find this of immense utility in my classes as students do not have to back calculate raw level forecasts from differenced data. Now, on the bleaker side, I seem to face some problems with the routine. First of all you may download my test file from http://paravantis.com/cars100.gdt (It represents the number of cars per 100 people in Greece from 1970 to 2003.) The data set includes 3 columns: Cars100 (cars per 100 people), DIFF1_Ca (1st differences) and DIFF2_Ca (2nd differences). Now, in the past Allin indicated to me that he felt that taking the 2nd differences of Cars100 was probably OVERDIFFERENCING. Yet, using correlograms and taking into account which of these series has the SMALLEST STANDARD DEVIATION, I think that the second differences are "best" (and it is kept in mind that mild underdifferencing may be corrected with more AuroRegressive terms while mild overdifferencing may be corrected with more Moving Average terms). Coming now to the crunch of the matter, there appear to exist QUITE A FEW ARIMA models that CANNOT be estimated with gretl which gives a dialog box stating "The convergence criterion was not met". UNFORTUNATELY, there is NO OPTION to increase the number of iterations (or make the convergence threshold more lax). These models include: ARIMA(1,2,1) ARIMA(0,2,1) It should be noted that these models MAY BE ESTIMATED with X-12_ARIMA but not with the "default" ARIMA routine. Here is what I would appreciate having as feedback from the respected gretl community: 1. How do you stand on the differencing issue? Do you side with 1st or 2nd differences? Does it really matter since we can "correct" by including more AR or MA terms? 2. What causes the problem with the default ARIMA routine? Is it "safe" to use X-12-ARIMA in all cases (even with unseasonal data)? Thanking you all for you time, John Paravantis University of Piraeus Greeece

17 years, 8 months

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log-likelihood

by Ignacio Díaz-Emparanza

First of all I want to report that I installed new version gretl-1.5.1 in mandriva-linux by means of the gretl-1.5.1-1gtk2.i586.rpm and all is working perfectly. But now, ... one step ahead: I am trying to program maximum likelihood in the "prediction error decomposition form" (see Harvey 1990 "Time Series Models", p.91) but I have a problem. I need to run the kfilter script from inside a "mle" (maximum likelihood estimation) group, and it is not possible. ¿Any suggestion? (see scripts in http://www.bl.ehu.es/~etpdihei/gretl/kloglike.inp http://www.bl.ehu.es/~etpdihei/gretl/kfilterft.inp ) include kfilterft.inp mle logl = -log(ft)-st # Next line is the function call, here is the problem (filtered, ft) = kfilter Y, a0, p0, bT, Z, Sigma_w, sigma_e series vt = Y-filtered series st = (vt**2)/(ft*T) param sigma_e end mle -- Ignacio Díaz-Emparanza Dpto. de Economía Aplicada III (Econometría y Estadística) UPV-EHU

17 years, 8 months

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RATS database

by Raquel Guimarães

Hi all! Does gretl reads this RATS database? A friend of mine is working on this one (from Johansen's book): http://www.math.ku.dk/~sjo/book/bookdata.html I saw that in windows version there's a way to browse the database on RATS 4, but mine gets an error message: can't open folder f:/ Is there any way to read that? Regards, Raquel Guimarães Universidade Federal de Minas Gerais, Brasil rguima(a)face.ufmg.br

17 years, 8 months

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Minor Error messages at gretl 1.5.1

by Hélio Guilherme

-----BEGIN PGP SIGNED MESSAGE----- Hash: SHA1 Just got 2 minor error messages: 1 - "help file /usr/local/share/gretl/gretlcmd.hlp is not accessible" The file is there, but think is from the previous version. Isn't this type of help is now obsolete? 2 - At the first execution, that the font "Vera" was missing and that is going to use the "Default" font. Good work! -----BEGIN PGP SIGNATURE----- Version: GnuPG v1.4.2 (GNU/Linux) Comment: Using GnuPG with Mozilla - http://enigmail.mozdev.org iD8DBQFEJIKeHvesJJ5UqvkRAunGAKDJv8YiVno0tCPu/MZED5Y4dxcfBwCfXhIg XEFtAqPIrlcxfMazZUL4wsI= =bag4 -----END PGP SIGNATURE-----

17 years, 8 months

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Greek Language

by m6s

If there is no translation in Greek language, I would like to contribute a translation... If possible give me exact directions on what to do, to accomplish it. If there is someone else who has undertaken this, perhaps I could assist him... In any case, fabulous idea your program! Dimitris.

17 years, 8 months

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File Formats

by Zhukov Pavel

How to open a file of a format like TICKER PER DATE TIME OPEN HIGH LOW CLOSE EURUSD D 20010216 0 0.91210 0.91820 0.91020 0.91530 EURUSD D 20010217 0 0.91520 0.91670 0.91330 0.91530 .............. (MetaStock Standart) in gretl?

17 years, 8 months

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Kalman Filter

by Ignacio Díaz-Emparanza

Attached you will find a script that applies a Hodrick-Prescott filter by means of a Kalman filter. I hope in future versions of gretl the "function" command can accept matrices as parameters, so this will do easier to apply the KF. We could advance then in programming, for example, Maximum Likelihood trough "prediction error decomposition" and then Structural Time Series Models. -- Ignacio Díaz-Emparanza Dpto. de Economía Aplicada III (Econometría y Estadística) UPV-EHU

17 years, 8 months

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Changing the limits of the ARMA estimation

by Ignacio Díaz-Emparanza

I have a multiplicative ARMA model that seems difficult to estimate as is actually not converging. I know that usually it means that the specification of the model is not good, but I think in this case if I augment the limit of iterations it will soon converge. Is there a way of doing that? and, Is there a way of changing the tolerance criterium for ARMA models? -- Ignacio Díaz-Emparanza Dpto. de Economía Aplicada III (Econometría y Estadística) UPV-EHU

17 years, 8 months

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Translation Encoding

by Zhukov Pavel

Which encoding I must use to correct working in windows? utf-8 or CP1251?

17 years, 8 months

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Changing Language

by Zhukov Pavel

Good evening. How to change language in gretl? I have understood that it is necessary to start command #LANG = <lang> gretl But it still starts English language.

17 years, 8 months

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Gretl-users March 2006