idempotence and symmetry
by Sebastiano Putoto
Dear Gretl users,
I know my question may seem (it actually is) very banal, but I can't figure
out a way to check if two matrices are equal.
The point is verifying idempotence and symmetry for an orthogonal projector.
The mathematical proof isn't required here: the point is showing that the
actual calculated matrices are orthogonal projectors and therefore have the
specified properties; I got to show the numbers are the same. And apart from
arbitrary extraction of submatrices to prove they get out same, I can't
think of anything 'scientific'.
Hope you will be able to help me with the matter.
Regards,
SP
16 years
Multivariate normal sample
by Constantin Colonescu
Hi,
Is it possible to draw a sample from a multivariate normal
distribution with a specified correlation or covariance structure in
Gretl?
Regards,
Constantin
16 years
Heteroskedasticity Tests (menu and results)
by Henrique
Dear Gretl community,
I was estimating an OLS model using GUI and when I performed some tests on
results I realized that heteroskedasticity tests - White's test, White's
test (squared only), Breusch-Pagan, and Koenker - give a little bit
confusing results (IMHO), look:
White's test for heteroskedasticity -
Null hypothesis: heteroskedasticity not present
Test statistic: LM = 51.4256
with p-value = P(Chi-Square(35) > 51.4256) = 0.0361713
White's test for heteroskedasticity -
Null hypothesis: heteroskedasticity not present
Test statistic: LM = 16.9311
with p-value = P(Chi-Square(14) > 16.9311) = 0.259869
Breusch-Pagan test for heteroskedasticity -
Null hypothesis: heteroskedasticity not present
Test statistic: LM = 7.01643
with p-value = P(Chi-Square(7) > 7.01643) = 0.427172
Breusch-Pagan test for heteroskedasticity -
Null hypothesis: heteroskedasticity not present
Test statistic: LM = 8.8388
with p-value = P(Chi-Square(7) > 8.8388) = 0.264438
With this results we aren't able to differentiate between the first and
second results (and also the third and fourth results) because they are
presented with the same title. I think it could be better if we have:
White's test for heteroskedasticity -
White's test for heteroskedasticity (squared only) -
Breusch-Pagan test for heteroskedasticity -
Breusch-Pagan test for heteroskedasticity (Koenker robust variant) -
What do you think?
Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
16 years
New build of gretl for OS X
by Allin Cottrell
Hello OS X users: I'd be grateful if any of you could try out a
new gretl dmg. This relies on the GTK+ framework that Berend
Hasselman mentioned (built by the R people), which is available
at:
http://r.research.att.com/gtk2-framework.dmg
If you don't already have this installed, you'll need to install
it first, then install
http://ricardo.ecn.wfu.edu/pub/gretl/gretltest.dmg
The advantages of this gretl build over previous ones are
1) You get a much more up-to-date version of GTK than I was able
to provide via fink on OS X 10.4, and
2) I think this should provide correct support for language
switching; at least, it does so on the iMac I'm using for testing.
If things don't work right at first, you might try deleting your
old gretl config file, ~/.gretl2rc .
--
Allin Cottrell
Department of Economics
Wake Forest University
16 years
two new user questions:
by Steve Salemy
1. as a new user, is there an easy way to search the email archives of
prior questions / discussions so that I don't have to repeat questions that
have already been asked in the past2. can Gretl libraries be accessed via
c# code running in a .net environment?
thanks
Steve
16 years
gretl icon view changes
by Allin Cottrell
Hello all,
A brief note about one change in CVS and the Windows snapshot. I
noticed that some actions that add icons to the "icon view" were
not giving the user any feedback. E.g., main window, "/Add/Define
matrix..." A matrix is defined OK but the user might reasonably
wonder, "Where is it?". Or you run a script that adds some graphs
or models as icons via the "objectname <- command" mechanism, but
you don't see the icons.
So I've now made it that the econ view pops open automatically
when I guess people might want to see it. If you don't like
this behavior you can turn it off, by unchecking the box
"Show icon view automatically" under /Preferences.
Allin Cottrell
--
Allin Cottrell
Department of Economics
Wake Forest University
16 years
Tests for GARCH models
by yinung＠Gmail
Dear all,
In general, after estimating a GARCH, the diagnosis should be on
"standardized" residuals rather than on "regular" residuals from the
mean equation.
However, the current test (named ARCH) with a GARCH model via GUI is
on "regular" residuals from the mean equation.
Do you think the test should be on the "standardized" residuals?
In addition, the tests on "normality of residual" and
"autocorrelation" is now disabled with a GARCH model. Are they
possibly enabled (and on the "standardized" residuals)?
Thanks
Yi-Nung
16 years
Censored Bivariate Probit Model.
by gerald.jean＠dgag.ca
Hello,
I am new to this list. I haven't even downloaded and installed Gretl yet.
I am looking for a freeware that would allow the estimation of a Censored
Bivariate Probit Model, this is very similar to Heckman's model, excepted
that the second model is a Probit model as the selection model. Is this
possible in Gretl? If not are you aware of other freeware allowing this
type of estimation.
Thank you very much for any information on this subject,
Gérald Jean
Conseiller senior en statistiques,
VP Planification et Développement des Marchés,
Desjardins Groupe d'Assurances Générales
télephone : (418) 835-4900 poste (7639)
télecopieur : (418) 835-6657
courrier électronique: gerald.jean(a)dgag.ca
"In God we trust, all others must bring data" W. Edwards Deming
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Think green before you print !
Le message ci-dessus, ainsi que les documents l'accompagnant, sont destinés uniquement aux personnes identifiées et peuvent contenir des informations privilégiées, confidentielles ou ne pouvant être divulguées. Si vous avez reçu ce message par erreur, veuillez le détruire.
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16 years
questions
by Kehl Dániel
Dear gretl-users,
first of all I have to say that I am a beginner user of gretl.
I have a time-series with a frequency of 15 minutes (electricity
consumption).
~12 000 observations from 1 January 2009.
Is there a way I could set this frequeny? (unfortunatelly I don't use
the script language yet)
There is of course a daily seasonality and a weekly too, so I thought I
should use 672 lags as predictor but was unable to do it with the ARMA task.
In addition there are some days where the electricity consumption is
much lower due to national holidays. I wanted to use dummy variables to
solve this problem, but the fitting was very poor on these days.
Thank you for your attention tips and help!
Daniel Kehl
16 years
