size of the (combined) impulse response graph
by Artur T.
Dear gretl programmers,
Is there a reason, apart from the argument that the individual figures
eventually become too small (which I think does not have to be if one
has a look on eviews' graphical presentation), why the combined
impulse-response graph is limited to the size 4x4?
I think it would be a nice improvement if one could plot higher
dimensional combined graphs.
Cheers,
Artur
16 years
Stock and Watson QLR test (under Win XP)
by Franck Nadaud
Greetings to the GRETL Folk from Paris !
I am currently estimating single equation time series models, and i use the
built-in QLRTEST command.
However, I it seems that one cannot have access to the supWald statistic of
this command inside GRETL, at least from the GUI. The GRETL manual quotes the
Stock and Watson book (2003) for updated values (from the paper of Andrews,
1993 / corrigenda 2003). Finally, as far as I understand, the tables of
Andrews and Stock/Watson are not fully compatible, while i have the former. I
could not find the Stock/Watson table on the net, and I dont have the book...
Does anybody have a reference where part of the QLR tables are available ?
Well, sorry for the little off topic post.
cheers
Franck
--
Franck Nadaud
CIRED
UMR 8568 CNRS - EHESS, ENPC, ENGREF, CIRAD
45 bis avenue de la Belle Gabrielle
94736 Nogent-sur-Marne Cedex
TEL: 33-1-43-94-73-94
FAX: 33-1-43-94-73-70
MOB: 06-07-39-92-75
France
16 years
Panel data time series means with weighting
by MICHAEL BOLDIN
I would like to calculate time series means in a panel data set as
easily as pmean() and wonder if there is a built in function or
easier way than my script below. I am computing stock market returns
for a portfolio where px=1 was set to select the included
cross-sectional identifiers, and note I also need to weight (by market
value in this case).
smpl --full
series retp= NA
## Loop over dates
loop foreach dx 38748 38776 38807
smpl --full
## Set sample dates and selected ids
smpl DATE= $dx --restrict
smpl px=1 --restrict
## Compute weighted average returns as wls intercept coefficient
wls mktval_lag ret const --quiet
series retp=$coeff(0)
endloop
Second and third thing: I imported the data from EXCEL and the dates
are numbers (1/1/1900=0), hence my loop over 38748 38776 38807 that
are month end days. Is there a easy way to get all date ids to loop
over and format as dates.
16 years
Re: [Gretl-users] Manipulating a database
by Neil Hepburn
Hi Leandro
I think that your best bet would be to use a relational database like MySQL to massage the data into the format that you want. Then, once you have the data the way you want it you could then export it as a CSV file and read that into gretl. I think that if you structured a table in MySQL to mimic the format of your existing data, you could then run a query and order by what ever the groupings that you want. For example, if you wanted each block to be a supermarket, you would sort by the supermarket field. The SQL code for such a query would look something like:
SELECT * FROM dset ORDER BY dset.supermarket;
where dset is whatever you name your table. You can also do aggregation with this if you need to by using the GROUP BY function instead of ORDER BY.
-Neil
On 2010-04-03, at 10:00 AM, <gretl-users-request(a)lists.wfu.edu> wrote:
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> Today's Topics:
>
> 1. Manipulating a database (Leandro Zipitria)
> 2. Re: Manipulating a database (Riccardo (Jack) Lucchetti)
>
> From: Leandro Zipitria <leandro.zipitria(a)gmail.com>
> Date: April 2, 2010 11:31:12 PM MDT
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Cc: Fernando Borraz <fborraz(a)gmail.com>
> Subject: [Gretl-users] Manipulating a database
> Reply-To: Gretl list <gretl-users(a)lists.wfu.edu>
>
>
> Hello Gretl Community,
>
> I have a database with daily prices which is in a rather unusual format and I want to know if it is possibly to create a panel data with it using Gretl scripts. The database is extracted from a dbf archive, and its has 6 variables:
>
> - The (number of) supermarket from which the price is reported
> - The (number of) the product which price is being reported
> - The year of the price
> - The month of the price
> - The price reported itself
> - The first day of the month the price is reported
> - The last day of the month the price is reported
>
> I have nearly one million rows with data, but in order to do some regressions -and use it as a panel- I will need to transform it in a suitable way.
>
> I suppose that the best way that Gretl can handle it is to create a specific column for each product, and then stack all the supermarkets on a daily basis. In this way, I will have each column representing a product, the first 700 rows being a price for each product for supermarket 1, the next 700 rows being a price for each product for supermarket 2, etc.
> But in order to do it, I will need first to create the daily prices series, which is now "compacted" in the datafile. I am attaching a random 10 elements from the database in order to get a better picture of the situation. In the first sheet I submit the actual data format, on the second one which I think should be the (best?) result.
>
> I will first ask if this kind of transformation is possible in Gretl. I am aware that running some scripts on other programs could do the trick, but I think that it could be possible in Gretl to do it. But I am also think that it could be rather complex to do it, and I am a new one on this issues.
>
> Thank in advance.
> Best regards,
> Leandro Zipitría
> <gretl.xls>
>
>
> From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it>
> Date: April 3, 2010 2:33:03 AM MDT
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Cc: Fernando Borraz <fborraz(a)gmail.com>
> Subject: Re: [Gretl-users] Manipulating a database
> Reply-To: r.lucchetti(a)univpm.it, Gretl list <gretl-users(a)lists.wfu.edu>
>
>
> On Sat, 3 Apr 2010, Leandro Zipitria wrote:
>
>> Hello Gretl Community,
>> I have a database with daily prices which is in a rather unusual format and I want to know if it is possibly to create a panel data with it using Gretl scripts. The database is
>> extracted from a dbf archive, and its has 6 variables:
>> - The (number of) supermarket from which the price is reported
>> - The (number of) the product which price is being reported
>> - The year of the price
>> - The month of the price
>> - The price reported itself
>> - The first day of the month the price is reported
>> - The last day of the month the price is reported
>> I have nearly one million rows with data, but in order to do some regressions -and use it as a panel- I will need to transform it in a suitable way.
>> I suppose that the best way that Gretl can handle it is to create a specific column for each product, and then stack all the supermarkets on a daily basis. In this way, I will
>> have each column representing a product, the first 700 rows being a price for each product for supermarket 1, the next 700 rows being a price for each product for supermarket
>> 2, etc.
>> But in order to do it, I will need first to create the daily prices series, which is now "compacted" in the datafile. I am attaching a random 10 elements from the database in
>> order to get a better picture of the situation. In the first sheet I submit the actual data format, on the second one which I think should be the (best?) result.
>> I will first ask if this kind of transformation is possible in Gretl. I am aware that running some scripts on other programs could do the trick, but I think that it could be
>> possible in Gretl to do it. But I am also think that it could be rather complex to do it, and I am a new one on this issues.
>
> Two remarks/suggestions:
>
> 1) Turning a dataset such as this into a panel dataset is not trivial from a _conceptual_ point of view: what are your units? supermarkets or products? or combinations of the two? What would you use as the time unit (day, month, week)? If you choose anything longer than a day (say, a week), how would you handle changes of prices during the week? Of course, this is a design decision and gretl can't help you with this.
>
> 2) If you have your data in some database that can be queried via SQL, I think that our ODBC apparatus may just fit your needs. You may want to have a look at the corresponding chapter of the User's Guide.
>
>
> Riccardo (Jack) Lucchetti
> Dipartimento di Economia
> Università Politecnica delle Marche
>
> r.lucchetti(a)univpm.it
> http://www.econ.univpm.it/lucchetti
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
=============================================
Neil Hepburn, Economics Instructor
Department of Social Sciences, Augustana Faculty
University of Alberta
4901-46 Avenue
Camrose, Alberta T4V 2R3
Phone (780) 679-1588
email nhepburn(a)ualberta.ca
No trees were harmed in creating this message. (However, millions of electrons were terribly disturbed.)
16 years
Descriptive label
by Kehl D ániel
Dear Community,
is it possible to save the Descriptive label for a new generated series?
If i have
series ln_$j = ln(lnlist.$j)
in a script, it would be good to have a label just like in case I create the series in the graphical mode.
Thanks:
Daniel
16 years
GRETL problems about sign comparison
by Giorgio Gozzi
Hi everone.. I am recently trying to use and learn GRETL..I need help..when
i try to confront the sign of the return of the time series of index
FTSEMIB with the sign of the time series of the returns of every of the of
every of its 40 elementary members. In order to count how many times there
is an agreement between the sign of each return and that one of index
FTSEMIB.
I wanted to resolve the problem using the function SIGN but such function
lacks in the directory of Gretl.
I will be very pleased to have some suggestion to this issue.
Many thanks in advance
Giorgio Gozzi
Prof. Giorgio Gozzi
Professor of Economic Statistics
Department of Economics
Via J.F. Kennedy, 6
University of Parma
Italy
ISI Member
Phone: +390521032418
Fax: +390521032375
http://economia.unipr.it/DOCENTI/
16 years
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
16 years
