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
13 years, 4 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
13 years, 4 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
13 years, 4 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
13 years, 4 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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13 years, 4 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
13 years, 4 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
13 years, 4 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
13 years, 4 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?
13 years, 4 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
13 years, 4 months
