Re: [Gretl-users] Trouble in deleting variables
by Allin Cottrell
On Fri, 10 Dec 2010, Sven Schreiber wrote:
> Am 10.12.2010 19:41, schrieb Henrique Andrade:
[ etc., on the possibilities for deleting series in a
session file ]
As per Sven's suggestion, I'll respond to this on the gretl-devel
list.
Allin
14 years, 10 months
Re: [Gretl-users] Trouble in deleting variables
by Allin Cottrell
On Fri, 10 Dec 2010, Henrique Andrade wrote:
> There's a problem that appears with a considerable frequency here at
> my work: To delete unused variables inside a Gretl session.
>
> Please take a look at the .gretl file attached.
>
> The variables "fora_de_uso", "fora_de_uso2", and "fora_de_uso3" (ID
> numbers: 9, 5, and 18, respectively) cannot be deleted even though
> they are not being used.
>
> Why does this happen?
It happens because if you were to delete those variables this
would result in the re-numbering of several variables that appear
as dependent or as regressors in saved models, which would totally
confuse gretl.
Perhaps the error message should be adjusted in this case: saying
that the variable is "in use" is not quite accurate. But the
substantive point is correct: you really can't delete those series
without destroying your session file.
Allin Cottrell
14 years, 10 months
Re: [Gretl-users] DOLS-FMOLS
by Allin Cottrell
On Wed, 8 Dec 2010, Ouedraogo nadia wrote:
> I would like ask you two questions,
> The 1rst one: What is the difference between 1-Step and 2-step
> Dynaic panel and how to interprete the results of these two
> methodology?
Please see chapter 17 of the Gretl User's Guide, "Dynamic panel
models".
> The 2nd: can i run FMOLS or its equivalence with Gretl?
Yes, but you'd have to write your own script to do so; FMOLS is
not a built-in or "canned" method in gretl.
Allin Cottrell
14 years, 10 months
Trouble in deleting variables
by Henrique Andrade
Dear Gretl List Members,
There's a problem that appears with a considerable frequency here at
my work: To delete unused variables inside a Gretl session.
Please take a look at the .gretl file attached.
The variables "fora_de_uso", "fora_de_uso2", and "fora_de_uso3" (ID
numbers: 9, 5, and 18, respectively) cannot be deleted even though
they are not being used.
Why does this happen?
Best regards,
--
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
14 years, 10 months
Question regarding lag length for JJ cointegration test
by Julio Acuña
Greetings!
My question is in regard to the lag lenght selection for johansen cointegration test.
I have almost 3 thousand daily observations of exchange rates. To identify( according to information criteria) the appropiate lag lenght for J's test, i go to "var lag selection...". The results points to 1 or 6(different criteria give different results) day lag, anyhow they don't seem right to me. And i was thinking i shuold test down at least 100 days and see if it changes. Any advices???
As a side note, when i run OLS under different coinfigurations I notice certain 100+ day lag which are significant at 99% .
> From: gretl-users-request(a)lists.wfu.edu
> Subject: Gretl-users Digest, Vol 47, Issue 13
> To: gretl-users(a)lists.wfu.edu
> Date: Thu, 9 Dec 2010 12:00:03 -0500
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> 1. Re: Building Matrix Using the Dataset (Ignacio Diaz-Emparanza)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Thu, 09 Dec 2010 10:25:17 +0100
> From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es>
> Subject: Re: [Gretl-users] Building Matrix Using the Dataset
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID: <4D00A07D.9010002(a)ehu.es>
> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
> El 07/12/10 14:16, Henrique Andrade escribi?:
> >
> > Dear Sven and Allin, I'd found a solution for my problem. Please take a
> > look at the
> > following script:
> >
> > *<script>*
> > *scalar *mynumber = 9999
> >
> > *list *variables = 1
> > *loop *i=2..144
> > variables += $i
> > *endloop*
> >
> > *loop foreach *i variables
> > *series *$i = misszero($i) + missing($i)*mynumber
> > *endloop*
> >
> > *matrix *A = { *dataset *}
> > *</script>*
> >
> > Thanks for your help!
> >
> > Best regards,
> > --
> > Henrique C. de Andrade
>
> Dear Henrique,
>
> another alternative for your script:
>
> <script>
> open Dados.gdt
> scalar mynumber = 9999
>
> list variables = dataset
>
> loop foreach i variables
> series $i = ok($i)*$i + !ok($i)*mynumber
> endloop
> matrix A = { variables }
> </script>
>
> --
> Ignacio Diaz-Emparanza
> DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA)
> UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
> T.: +34 946013732 | F.: +34 946013754
> www.ea3.ehu.es
>
>
>
>
>
>
> ------------------------------
>
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> End of Gretl-users Digest, Vol 47, Issue 13
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14 years, 10 months
Re: [Gretl-users] getting p-values out of Johansen test
by Allin Cottrell
On Tue, 7 Dec 2010, Robert Kirkby wrote:
> I am running a simulation in which I generate 100 copies of 3 time
> series. I want to write a script that will run cointegration tests on
> them and store all the p-values. I can easily do this for the
> Engel-Granger test for cointegration using $pvalue, for example the
> contents of the for loop look something like
> coint 4 v1 v2 v3 --ct
> genr pval=$pvalue
> I would like to do much the same thing, but with the Johansen test,
> storing the p-values from the Lmax (or trace) test (so there would be
> 3 p-values for each simulation). Running the test is easy with
> coint2 4 v1 v2 v3
> but is there any way that I can get the p-values for the Lmax test out
> of this automatically?
Not easily, at present. The trouble is that the $pvalue and $test
accessors are set up to deal with scalars (only) while the
Johansen test generates multiple values. I think we should
probably aim to generalize this retrieval mechanism. In the
meantime, however, the best we can offer is the following sort of
thing, using gretl's string-handling: we write the test results to
file (using the --quiet option), read the content of the file into
a string, then parse out the pvalues into a matrix.
<script>
open denmark.gdt
list L = LRM LRY IBO IDE
outfile pvals.txt --write
coint2 2 L --seasonals --rc --quiet
outfile --close
string pvstr = readfile("pvals.txt")
scalar rankmax = nelem(L)
matrix pvals = zeros(rankmax, 2)
scalar x
loop i=1..rankmax --quiet
loop j=1..2 --quiet
pvstr = strstr(pvstr, "[") + 1
sscanf(pvstr, "%g", x)
pvals[i,j] = x
endloop
endloop
print pvals
</script>
Allin Cottrell
14 years, 10 months
Re: [Gretl-users] Building Matrix Using the Dataset
by Allin Cottrell
On Mon, 6 Dec 2010, [ISO-8859-1] Carlos Henrique Coêlho de Andrade wrote:
> Dear Sven and Allin,
>
> Thanks for your attention. The problem here is that all data rows have
> missing values.
>
> I think it would be better if I could send my data set to the list.
You're welcome to do so -- or if the file is too big for the list,
you could send it off-list. However, if all rows have missing
values it's hard to see how one could do any useful statistical
calculations using the data in question.
Allin Cottrell
14 years, 10 months
DOLS-FMOLS
by Ouedraogo nadia
Dear Gretl community,
I would like ask you two questions,
sorry in advance, they are probably naive but I am just starting to use Gretl and I am not an accomplished econometrician!
The 1rst one: What is the difference between 1-Step and 2-step Dynaic panel and how to interprete the results of these two methodology?
The 2nd: can i run FMOLS or its equivalence with Gretl?
Thanks,
Nadia
14 years, 10 months
getting p-values out of Johansen test
by Robert Kirkby
I am running a simulation in which I generate 100 copies of 3 time
series. I want to write a script that will run cointegration tests on
them and store all the p-values. I can easily do this for the
Engel-Granger test for cointegration using $pvalue, for example the
contents of the for loop look something like
coint 4 v1 v2 v3 --ct
genr pval=$pvalue
I would like to do much the same thing, but with the Johansen test,
storing the p-values from the Lmax (or trace) test (so there would be
3 p-values for each simulation). Running the test is easy with
coint2 4 v1 v2 v3
but is there any way that I can get the p-values for the Lmax test out
of this automatically? Running $pvalue just outputs the p-value from
whatever the last test run before this was. Is this possible?
14 years, 10 months
Re: [Gretl-users] Building Matrix Using the Dataset
by Allin Cottrell
On Mon, 6 Dec 2010, Henrique Andrade wrote:
> How can I build a matrix using all the series in a current
> dataset when the series inside the dataset has missing
> values?
>
> I'm trying the following command:
>
> matrix A = { dataset }
>
> But this is not working.
What is happening? You should get a matrix in which data rows
containing missing values are skipped. If you do
set skip_missing off
you should get a matrix in which "nan" (not-a-number) is
substituted for messing values.
Allin Cottrell
14 years, 10 months
