gretl & ODBC
by John B. Stubblebine
I am not able to get gretl and ODBC to work on a Windows 7 system.
Version 1.8.6 is installed.
Is this known to work? Any suggestions would be a great help.
Thanks!
--
Best regards,
John B. Stubblebine
jstub(a)jstub.com
14 years, 3 months
locale related bug ?
by Patricio Cuarón
I was writing a script on gretl (CVS version, couple of days old).
I get the following
gretl version 1.8.6cvs
Current session: 2010-01-11 17:56
? scalar testdot = 0.1
Replaced scalar testdot = 0
? print testdot
testdot = 0,00000000
? scalar testdiv = 1/10
Generated scalar testdiv = 0,1
? print testdiv
testdiv = 0,10000000
? scalar testcomma = 0,1
> scalar testcomma = 0,
The symbol ',' is not valid in this context
Syntax error in command line
Error executing script: halting
> scalar testcomma = 0,1
I'm forced to use set force_decpoint on and use a dot for anything to work.
This isn't, I think, the best behaviour. If you have a script with an
if xxx > 0.1
you will have very different results, and no warning, depending on the
locale setting. And if this is indeed the desired behaviour then the comma
as a separator should work fine.
14 years, 3 months
gretl 1.8.6 on ubuntu 8.04
by yinung＠Gmail
Dear all
Does anyone successfully install (or compile) gretl 1.8.6 on ubuntu
8.04? I had a hard time to do that. If somebody does, would you please
instruct me how to do that?
Thanks
Yi-Nung Yang
14 years, 3 months
About GARCH model
by yinung＠Gmail
Dear All
As I can recall, after estimating a GARCH model under GUI, it seems a
standard procedure to check the "standardized residuals" for their
autocorrelations by means of Lung-Box Q, for "no remaining ARCH" by
means of Lung-Box Q2, and (probably) for normality. (see for example
, Enders' textbook "Applied Econometric Time Series," p.136,
Diagnostic checks)
Do you think "Save" standardized residuals in addition to (usual)
residuals in the Model windows, and other Tests for (standardized)
residuals are necessary? Now most of the Tests under GARCH estimation
result window are disabled.
Thanks
Yi-Nung
14 years, 3 months
Re: [Gretl-users] Monte Carlo simulation with correlated variables
by Lars Pålsson-Syll
Thanks a lot Sven and Allin!
That really helped.
I can see that Cholesky decomposition works perfectly in the Monte Carlo method for simulating systems with multiple correlated variables. But I'm not quite sure WHY, so if you have any readable references I would be more than happy to take a look at it. (By the way, I couldn't find anything in the Gretl-manual about the operator *= that was used in the script).
Best regards,
Lars
Lars Palsson Syll
Professor of Civics
Malmo University
Sweden
>>> <gretl-users-request(a)lists.wfu.edu> 10-01-11 18:01 >>>
Send Gretl-users mailing list submissions to
gretl-users(a)lists.wfu.edu
To subscribe or unsubscribe via the World Wide Web, visit
http://lists.wfu.edu/mailman/listinfo/gretl-users
or, via email, send a message with subject or body 'help' to
gretl-users-request(a)lists.wfu.edu
You can reach the person managing the list at
gretl-users-owner(a)lists.wfu.edu
When replying, please edit your Subject line so it is more specific
than "Re: Contents of Gretl-users digest..."
Today's Topics:
1. monte carlo simulation ( Lars P?lsson-Syll )
2. Re: monte carlo simulation (Sven Schreiber)
3. RES: RES: Panel models tests (Bruno Thiago Tomio)
4. Re: RES: RES: Panel models tests (Sven Schreiber)
5. Re: monte carlo simulation (Allin Cottrell)
6. RES: RES: RES: Panel models tests (Bruno Thiago Tomio)
7. Re: RES: RES: Panel models tests (yinung at Gmail)
8. gretl 1.8.6 on ubuntu 8.04 (yinung at Gmail)
9. Re: gretl 1.8.6 on ubuntu 8.04 (Artur T.)
----------------------------------------------------------------------
Message: 1
Date: Mon, 11 Jan 2010 09:36:29 +0100
From: " Lars P?lsson-Syll " <Lars.Palsson-Syll(a)mah.se>
Subject: [Gretl-users] monte carlo simulation
To: <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4AF11D020000F00008CFC1(a)biggs.mah.se>
Content-Type: text/plain; charset=US-ASCII
Hi,
Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of econometrics" (3rd ed, p 273)
I run in to problem when in my script trying to incorporate that the population correlation between the x-values and
the error-values should be 0.6. Could anyone help me?
Best regards,
Lars
Lars Palsson Syll
Professor of Civics
Malmo University
Sweden
------------------------------
Message: 2
Date: Mon, 11 Jan 2010 10:40:21 +0100
From: Sven Schreiber <svetosch(a)gmx.net>
Subject: Re: [Gretl-users] monte carlo simulation
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4AF205.6060608(a)gmx.net>
Content-Type: text/plain; charset=ISO-8859-1
Lars P?lsson-Syll schrieb:
> Hi,
> Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of econometrics" (3rd ed, p 273)
> I run in to problem when in my script trying to incorporate that the population correlation between the x-values and
> the error-values should be 0.6. Could anyone help me?
> Best regards,
> Lars
>
If your question is how to produce (pseudo-) random series with the
needed correlation structure, then create two independent series and
multiply that vector (actually 2-col data matrix) with an appropriate
matrix (cholesky factor of the wanted covariance matrix).
good luck,
sven
------------------------------
Message: 3
Date: Mon, 11 Jan 2010 12:06:16 -0200
From: "Bruno Thiago Tomio" <bttomio(a)al.furb.br>
Subject: [Gretl-users] RES: RES: Panel models tests
To: "'Gretl list'" <gretl-users(a)lists.wfu.edu>
Message-ID: <740635D656A14A37B9F1FEA1B250F4C2@bruno>
Content-Type: text/plain; charset="us-ascii"
Thank you very much, Sven. I get "Data error" when trying to run tbar =
meanc(tstats), following your instructions.
Cheers,
Bruno
-----Mensagem original-----
De: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber
Enviada em: sexta-feira, 8 de janeiro de 2010 21:24
Para: Gretl list
Assunto: Re: [Gretl-users] RES: Panel models tests
Well I don't have a complete solution for you, but AFAIR some of these tests
rely on average ADF test statistics. So here is an example script showing
how to calculate such averages across panel units:
open greene14_1.gdt # example of a panel dataset
# which variable?
series tested = C
lagorder = 0
scalar numofunits = max($unit)
matrix tstats = {}
loop for i=1..numofunits
smpl $unit=i --restrict
adf lagorder tested --c
matrix tstats = tstats | $test
smpl full
endloop
tbar = meanc(tstats)
print tbar
For averaging p-values instead just replace $test with $pvalue. After some
polishing (and generalization) all this stuff could be wrapped in function
packages, but currently I don't have time for that, sorry.
Anybody else?
cheers,
sven
Bruno Thiago Tomio schrieb:
> Right... I'm aware of some limitations of these kind of tests. Anyway,
> tests like IPS, Maddala-Wu or Levin-Lin-Chou (2002) would be welcome.
> I was hoping to find a R package for these tests, but no success. Last
> but not least, thank you for answering, Sven.
>
> Sincerely,
>
> Bruno
>
> -----Mensagem original-----
> De: gretl-users-bounces(a)lists.wfu.edu
> [mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber
> Enviada em: quarta-feira, 6 de janeiro de 2010 13:57
> Para: Gretl list
> Assunto: Re: [Gretl-users] Panel models tests
>
> Bruno Thiago Tomio schrieb:
>> Hello,
>>
>> It's really lacking some tests when you estimate a panel model. Could
>> it be added some panel unit root tests, for example, please?
>>
>
> In principle you're right, but I guess it's a barrel without bottom
> (old German proverb). What test in particular would you be interested
> in? BTW the earlier panel unit root tests have ridiculously strong
> independence assumptions IMHO. Also this may be a good case for
> contributed function packages (I'm not 100% sure if it's really that
> convenient for panel data,
> though.)
>
> cheers,
> sven
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
------------------------------
Message: 4
Date: Mon, 11 Jan 2010 15:28:52 +0100
From: Sven Schreiber <svetosch(a)gmx.net>
Subject: Re: [Gretl-users] RES: RES: Panel models tests
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4B35A4.3030701(a)gmx.net>
Content-Type: text/plain; charset=ISO-8859-1
Bruno Thiago Tomio schrieb:
> Thank you very much, Sven. I get "Data error" when trying to run tbar =
> meanc(tstats), following your instructions.
>
Hm, I'm guessing maybe some missings in your dataset?
Does the script run ok for you with the example dataset (shipped with
gretl)? If not, what gretl version are you using?
-sven
------------------------------
Message: 5
Date: Mon, 11 Jan 2010 09:55:06 -0500 (EST)
From: Allin Cottrell <cottrell(a)wfu.edu>
Subject: Re: [Gretl-users] monte carlo simulation
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <Pine.A41.4.58.1001110935480.2478570(a)f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=iso-8859-1
On Mon, 11 Jan 2010, Sven Schreiber wrote:
> Lars P?lsson-Syll schrieb:
> > Hi,
> > Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of econometrics" (3rd ed, p 273)
> > I run in to problem when in my script trying to incorporate that the population correlation between the x-values and
> > the error-values should be 0.6. Could anyone help me?
> > Best regards,
> > Lars
>
> If your question is how to produce (pseudo-) random series with the
> needed correlation structure, then create two independent series and
> multiply that vector (actually 2-col data matrix) with an appropriate
> matrix (cholesky factor of the wanted covariance matrix).
An example:
<!-- pt>
scalar N = 100000
nulldata N --preserve
scalar r = 0.6
matrix X = mnormal(N, 2)
matrix V = {1, r; r, 1}
matrix C = cholesky(V)
X *= C' # note: use the transpose
series x1 = X[,1]
series x2 = X[,2]
r = corr(x1, x2)
</scr -->
Allin Cottrell
------------------------------
Message: 6
Date: Mon, 11 Jan 2010 14:19:24 -0200
From: "Bruno Thiago Tomio" <bttomio(a)al.furb.br>
Subject: [Gretl-users] RES: RES: RES: Panel models tests
To: "'Gretl list'" <gretl-users(a)lists.wfu.edu>
Message-ID: <1C39598AE9E949A79C8FC6D3075B1B8B@bruno>
Content-Type: text/plain; charset="us-ascii"
Using greene14_1.gdt, the script output is:
gretl version 1.8.6
Current session: 2010-01-11 14:17
? scalar numofunits = max($unit)
Generated scalar numofunits = 6
? matrix tstats = {}
Generated matrix tstats
? loop for i=1..numofunits
> smpl $unit=i --restrict
> adf lagorder tested --c
> matrix tstats = tstats | $test
> smpl full
> endloop
loop: i = 1
? smpl $unit=i --restrict
Full data set: 90 observations
Current sample: 15 observations
adf: expected an integer order
>> adf lagorder tested --c
-----Mensagem original-----
De: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber
Enviada em: segunda-feira, 11 de janeiro de 2010 12:29
Para: Gretl list
Assunto: Re: [Gretl-users] RES: RES: Panel models tests
Bruno Thiago Tomio schrieb:
> Thank you very much, Sven. I get "Data error" when trying to run tbar
> = meanc(tstats), following your instructions.
>
Hm, I'm guessing maybe some missings in your dataset?
Does the script run ok for you with the example dataset (shipped with
gretl)? If not, what gretl version are you using?
-sven
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
------------------------------
Message: 7
Date: Tue, 12 Jan 2010 00:40:37 +0800
From: yinung at Gmail <yinung.cycu(a)gmail.com>
Subject: Re: [Gretl-users] RES: RES: Panel models tests
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID:
<8fcc70371001110840r57eb3e02l9af0a832759b01aa(a)mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1
sven
I run your script on gretl 1.8.6 (under winXP) and it works great.
Yi-Nung Yang
2010/1/11 Sven Schreiber <svetosch(a)gmx.net>:
> Bruno Thiago Tomio schrieb:
>> Thank you very much, Sven. I get "Data error" when trying to run tbar =
>> meanc(tstats), following your instructions.
>>
>
> Hm, I'm guessing maybe some missings in your dataset?
>
> Does the script run ok for you with the example dataset (shipped with
> gretl)? If not, what gretl version are you using?
>
> -sven
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
------------------------------
Message: 8
Date: Tue, 12 Jan 2010 00:43:45 +0800
From: yinung at Gmail <yinung.cycu(a)gmail.com>
Subject: [Gretl-users] gretl 1.8.6 on ubuntu 8.04
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID:
<8fcc70371001110843l468d000ev25efba868bfb75cd(a)mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1
Dear all
Does anyone successfully install (or compile) gretl 1.8.6 on ubuntu
8.04? I had a hard time to do that. If somebody does, would you please
instruct me how to do that?
Thanks
Yi-Nung Yang
------------------------------
Message: 9
Date: Mon, 11 Jan 2010 16:51:25 +0000
From: "Artur T." <artur.tarassow(a)googlemail.com>
Subject: Re: [Gretl-users] gretl 1.8.6 on ubuntu 8.04
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4B570D.7040509(a)googlemail.com>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed
yinung at Gmail schrieb:
> Dear all
>
> Does anyone successfully install (or compile) gretl 1.8.6 on ubuntu
> 8.04? I had a hard time to do that. If somebody does, would you please
> instruct me how to do that?
>
> Thanks
>
> Yi-Nung Yang
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
can you give us the ouput of your compilation attempt?
usually the problem lies in some missing packages.
artur
------------------------------
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
End of Gretl-users Digest, Vol 36, Issue 13
*******************************************
14 years, 3 months
Panel models tests
by Bruno Thiago Tomio
Hello,
It's really lacking some tests when you estimate a panel model. Could it be
added some panel unit root tests, for example, please?
Best wishes,
Bruno
14 years, 3 months
monte carlo simulation
by Lars Pålsson-Syll
Hi,
Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of econometrics" (3rd ed, p 273)
I run in to problem when in my script trying to incorporate that the population correlation between the x-values and
the error-values should be 0.6. Could anyone help me?
Best regards,
Lars
Lars Palsson Syll
Professor of Civics
Malmo University
Sweden
14 years, 3 months
Comand help
by Daniel
Hi all,
I'm new user of Gretl and I want to perform some OLS for restricting for
each electoral districts. However, when I tryed do it, some thing reported
wrong in my command program. In addiction I need to store b`s and do a
estimators table.
Someone could help me.
smpl t=2006 && ip="Senator" && j="SP" ols vote const revenue
thanks
--
Daniel Marcelino
Phone: (647) 8910939
http://ow.ly/FY8T
14 years, 3 months
Re: [Gretl-users] Why we assume that L=1
by Dr. Ioannis A. Venetis
L does not equal 1.
L is the lag operator with specific properties.
Example:
c:constant, L*c=c
Yt: time series , L*Yt=Yt-1 etc (see any time series textbook for these)
Regarding your question since c(2) is a constant we write c(2)*L=c(2).
This applies to polynomials as well. If A(L)=1-a1*L-a2*L^2 then
A(L)*c=.=A(1)*c
Now if in the denominator c/(1-a*L)=c/(1-a).
Further, if |a|<1 then c/(1-a)=c*sum(a^j) for j=0 to infinity (series
property). Thus c/(1-a)= c*sum(a^j)=c*sum((aL)^j)=c*sum(a^j*L^j)
*****************************************************************
Dr Ioannis A. Venetis
Assistant Professor
University of Patras, Department of Economic Sciences
University Campus, Rio, 26504, Greece
Tel: +30 2610 969 964
Ιωάννης Α. Βενέτης
Επίκουρος Καθηγητής
Τμήμα Οικονομικών Επιστημών, Πανεπιστήμιο Πατρών
Πανεπιστημιούπολη, Ρίο 26504
Τηλ: 2610 969 964
*****************************************************************
14 years, 3 months
counting
by Artur T.
Hello,
I programmed the following loop and wanted to count how often the null
is rejected for the ADF test. Unfortunately I do not know whether there
is a simple function for this.
loop 1000 --progressive --quiet
genr a = 10*uniform()
genr y = 1*a + normal()
alpha = 0.99
genr y = alpha*y(-1) + normal()
adf 1 y --nc --quiet
genr pv = $pvalue
print pv
store coeffs.gdt pv
endloop
Do you know a solution for this?
Thanks in advance.
Artur
14 years, 3 months
