Fixed effects forecast
by Ricardo Gonçalves Silva
Hi,
Can Gretl forecast 1 to 3 periods ahead an estimated panel data(fixed-effects with no iterations) model?
HTH
RIck
8 years, 6 months
gretl 1.7.6rc1
by Allin Cottrell
Current gretl CVS and the Windows snapshot at
http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
contain release candidate 1 for gretl 1.7.6.
Please note that this version involves a backward-incompatible
change with respect to gretl 1.7.5 and earlier, affecting
user-defined functions that (a) take a named list of variables as
an argument and (b) do things with the list-member variables by
means of a "foreach" loop on the list.
I won't go into the rationale for this change here. Anyone who
wants the details may look at the proceedings on the gretl-devel
list for July, which were mostly taken up with this issue:
http://lists.wfu.edu/pipermail/gretl-devel/2008-July/thread.html
There's also a brief discussion in the chapter of the User's Guide
that deals with user-defined functions. But here's the bottom
line for users:
* If you want to "get hold of" a list-member variable in the
context noted above, you have to use the syntax listname.varname,
where listname is the name of the list in question and varname is
the name of the list member. (This is required only if you're
working with a list that was supplied as a function argument.)
Trivial example: inside a function, creating new variables which
are the cubes of the members of an original list, xlist, where
xlist is an argument to the function.
Old style:
loop foreach i xlist
$i_3 = $i^3
endloop
New style:
loop foreach i xlist
$i_3 = (xlist.$i)^3
endloop
In the new scheme, "$i" gets the name of the list-member variable
alright, but the variable is not "visible" under that name within
the function. So on the right-hand side of the expression that
creates the cubes, we need "(xlist.$i)^3". (Well, actually the
parentheses are not required, but wearing your seatbelt is in
general a good idea.)
Although this may affect quite a large number of existing
functions, we believe the effects are localized and the update
should be trivial. If anyone has a function for which the update
is _not_ trivial, please let us know.
Allin Cottrell.
9 years, 4 months
creating a dummy variable
by Data Analytics Corp.
Hi,
I have a time series data set that ranges from 1977Q1 to 2009Q4. I want
to create a dummy variable for the recession quarters (1980Q1 - 1980Q3,
1981Q3 - 1982Q4, etc.) as defined by the NBER. How do I do this in Gretl?
Thanks,
Walt
--
________________________
Walter R. Paczkowski, Ph.D.
Data Analytics Corp.
44 Hamilton Lane
Plainsboro, NJ 08536
________________________
(V) 609-936-8999
(F) 609-936-3733
walt(a)dataanalyticscorp.com
www.dataanalyticscorp.com
9 years, 7 months
inconsistency in PCA function
by Rebecca Zhang
Hi,
I got inconsistent results when running PCA using covariance matrix in gretl. Please see attached TSY_curve file for the data used. Please see attached PCA_problem file that illustrated the problem when verified with R.
The result highlighted in yellow is different from R result and appears in consistent with a reduced components result. I appreciate if you can look into it. Thank you.
Regards,
Rebecca
9 years, 8 months
generalized impulse response
by Artur T.
Hello gretl community ;-)
I would like to ask whether there are any plans to incorporate
generalized impulse response functions into VAR analysis; based on the
papers by:
1. Koop, G., Pesaran, M. H. and S. M. Potter (1996), “Impulse Response
Analysis in Nonlinear Multivariate Models”, Journal of Econometrics, 74,
119–147.
and maybe
2. Pesaran, M. H. and Y. Shin (1998), “Generalized Impulse Response
Analysis in Linear Multivariate Models”, Economics Letters, 58, 17–29.)
Or maybe anyone has written some function for it? I have no idea how
difficult it is to implement this feature, but I think it might be
worthy if the programming effort is not too big and the demand for it
sufficient.
Best,
Artur
9 years, 9 months
Autoregressive Conditional Duration Estimation
by Josephine Sudiman
Dear All,
My name is Josephine, currently doing my postgraduate research degree. I am recently trying to learn GRETL to estimate my ACD (Autoregressive Conditional Duration), a model which shres similar concept to GARCH. While the latter concerns about modelling the hetero issue of mean equation, the former is about duration. Some suggests that I have to use Maximum Likelihood Estimation for estimate the conditional duration. I am also not sure how to estimate it given various assumption of residual distribution. It would be a great help for me and I will be very pleased to have anything related to this issue. Many thanks in advance for your kind attention.
Warm regards,
Josephine
9 years, 11 months
GRETL test statistics
by Torben Schmith
Hi everybody,
I want to do Monte-Carlo simulations with the Johansen cointegration
test. However, as far as I can see the $value and $test are not assigned
new values when this test is carried out.
My question is if there is any way I can can get hold of the test output
(as variables) from the Johansen test? I can't find anything on this
issue in the Gretl-documentation.
Thank you in advance
Torben Schmith
--
*****************************************************************
Torben Schmith
Senior scientist
Center for Ocean and Ice
Danish Meteorological Institute
Lyngbyvej 100
DK-2100 Copenhagen Ø
DENMARK
Phone direct : +45 39 15 74 44
Phone switch : +45 39 15 75 00
Fax : +45 39 15 73 00
E-mail : ts(a)dmi.dk
Homepage : http://ocean.dmi.dk/staff/ts/ts.html
*****************************************************************
9 years, 11 months
GRETL test statistics
by Torben Schmith
Hi everybody,
I want to do Monte-Carlo simulations with the Johansen cointegration
test. However, as far as I can see the $value and $test are not assigned
new values when this test is carried out.
My question is if there is any way I can can get hold of the test output
(as variables) from the Johansen test? I can't find anything on this
issue in the Gretl-documentation.
Thank you in advance
Torben Schmith
--
*****************************************************************
Torben Schmith
Senior scientist
Center for Ocean and Ice
Danish Meteorological Institute
Lyngbyvej 100
DK-2100 Copenhagen Ø
DENMARK
Phone direct : +45 39 15 74 44
Phone switch : +45 39 15 75 00
Fax : +45 39 15 73 00
E-mail : ts(a)dmi.dk
Homepage : http://ocean.dmi.dk/staff/ts/ts.html
*****************************************************************
9 years, 11 months
Comparative market research query request
by ShafikovIS＠ufanipi.ru
Dear Sir / Madam,
Employed as a statistician in a major Russian oil producing company (Rosneft), I am currently working with a project that incorporates some market research for the world's most popular statistical software. Precisely, I am interested in what features commonly used in statistics and statistical software are implemented in which software.
The list of software in the market was taken from http://en.wikipedia.org/wiki/Statistical_software and http://en.wikipedia.org/wiki/Comparison_of_statistical_packages.
Since it is virtually impossible to collect the necessary information only from the products' web sites, I would like to inquire if you could help me by filling in a small table of features (see attached MS Excel file) that apply to your product.
This favor is purely voluntary, so please just disregard this request if you do not have time and/or a willing to assist me in this task. If you do have kindness and patience to fill in the form, please be so kind as to send it back to me, appropriately filled as shown in the example provided in the file.
Thank you for your patience while reading this letter!
Kindest regards,
Iskander Shafikov
Junior Research Assistant
Dept. of Reservoir Engineering and Production Monitoring
RN-UfaNIPIneft Ltd., Rosneft Oil Company
<http://www.rosneft.com/>
9 years, 11 months
VAR Lag Selection Error
by Allin Cottrell
Henrique wrote:
> I'm estimating a VAR model and I'm getting a strange Gretl behaviour. When I
> try to choose the optimal VAR lag using the GUI (Model -> Time series ->
> VAR lag selection) Gretl crashes (I attached the Mac OS X Crash Report). The
> same problem doesn't occur when I do the same thing using a script. My
> script is something like this:
>
> <scrip>
> open monthly_data.gdt
> ldiff v1 v2 v3
> var 24 ld_v1 ld_v2 ld_v3 --lagselect
> </script>
>
> I'm using Gretl for Mac (build date 2010-03-23).
Can you give some more details? I can't replicate this problem so far.
What I did, in the gretl GUI (on Linux and OS X):
1) Open data9-12 (a monthly dataset)
2) From the Add menu, add log differences of the first 4 variables
3) Select Models/Time Series/VAR lag selection
4) Select the 4 log-differences as Endogenous, and accept all
default settings
5) Click OK
6) Reasonable-looking results are shown
--
Allin Cottrell
Department of Economics
Wake Forest University
9 years, 11 months
