Two-step-system GMM for Gretl
by Liliya Netskar
Dear gretl-users,
I need your help.
I would like to apply for my panel data analysis the two-step GMM Arellano-Bond dynamic panel-data estimation, because it is more efficient for samples with small t. Is is possible to perform it with Gretl? The tables report results for one-step or two-step Arellano-Bond estimation. But what are they? GMM (DIF) or GMM (SYS)?
Many thanks for your kind help in advance.
Kind regards,
Liliya
15 years, 1 month
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
15 years, 1 month
X-12-ARIMA FILTER
by Sebastian Fux
Dear all,
I have installed the X-12-ARIMA filter and changed the path names in Gretl
so that this should be ok. When I would like to run the X-12ARIMA I always
get the following error message:
'Couldn't open C:\Users\Smith
Peter\AppData\Roaming\gretl\x12arima\USOPRI04H.d11'
Where USOPRI04H is the series name. Could somebody help me?
15 years, 1 month
Easy - Printing down my critical-p
by Allin Cottrell
Forwarded on behalf of Sebastien Rodrigue-Prive:
Here it's my programation with Gretl :
open mensuelmemoire-sanslesnulles-160310
# create big list of variables
list biglist = I*EX I*IM
# create a list of regresor
list reg1list = TREND PRE911 POST911 TX_CHG Jan Fev Mar Avr Mai Juin Juil
Aou Sep Oct Nov Dec DICHO_OCT
# full results matrix, start empty
matrix Res = {}
loop foreach i biglist
# create multiplicator
# diminuer leS VARIABLES ( / 1 000 000)
PIB_IND_C_ = PIB_IND_C / 1000000
PIBN_US_ = PIBN_US / 1000000
series $i_def = $i / (PIB_IND_C_ * PIBN_US_) / DEF_US
# run the regression
ols $i_def 0 reg1list
# grab the coefficient and stan-error
matrix res = $coeff' | $stderr'
# and add to the big results matrix
Res = Res | res
endloop
# open a fil to write down the results
outfile "results par un million 100504-1.txt" --write
printf "%#12.6g", Res
outfile --close
Everythings worked very well.
The problem it's when I want to get in my res matrix the value of my
coefficient and my the value of my critical-p... doesn't work.
I tried $pvalue, doesn't work. I really need to get out the critical-p
for my presentation.
The point it's to change the $stderr' for the acessor that gonna gives me
my critical-p. I tried...
I could printed out the R-squared, adjusted R-squared, could build
square-root testing, but one of the easiest things to do, doesn't work.
Thank you very mych
S�bastien Rodrigue-Priv�
UQ�M
15 years, 1 month
Gretl in publications
by Henrique Andrade
Dear Gretl community,
How can I cite Gretl in publications?
Best wishes,
Henrique Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
15 years, 2 months
error with heteroscedacity function.
by denis joubert
Hello,
Using libgretl 1.8.7, with heteroscedacity function, i got the error :
"Weight variable is all zeros, aborting regression"
but when i add one observations it works or some observations added later it
does the same error, more observations later same it works and so on.
I give you the data with errors, it's a time serie with weekly observations,
i use this before calling the hsk_func :
listlag = laggenr_from_to(1, 1, 75, &m_Z, m_datainfo, &err);
and the m_Z contains at the beginning :
m_Z[1][0] = 1431225.000000;
m_Z[1][1] = 207958.000000;
m_Z[1][2] = 1328798.000000;
m_Z[1][3] = 1412733.000000;
m_Z[1][4] = 1766147.000000;
m_Z[1][5] = 1635199.000000;
m_Z[1][6] = 1565249.000000;
m_Z[1][7] = 949787.000000;
m_Z[1][8] = 1130386.000000;
m_Z[1][9] = 834164.000000;
m_Z[1][10] = 2080654.000000;
m_Z[1][11] = 1153485.000000;
m_Z[1][12] = 857538.000000;
m_Z[1][13] = 1363286.000000;
m_Z[1][14] = 2051956.000000;
m_Z[1][15] = 660288.000000;
m_Z[1][16] = 664975.000000;
m_Z[1][17] = 1831966.000000;
m_Z[1][18] = 1516991.000000;
m_Z[1][19] = 1284537.000000;
m_Z[1][20] = 978315.000000;
m_Z[1][21] = 611010.000000;
m_Z[1][22] = 86147.000000;
m_Z[1][23] = 1004510.000000;
m_Z[1][24] = 150055.000000;
m_Z[1][25] = 632921.000000;
m_Z[1][26] = 182371.000000;
m_Z[1][27] = 1269861.000000;
m_Z[1][28] = 599457.000000;
m_Z[1][29] = 989400.000000;
m_Z[1][30] = 859726.000000;
m_Z[1][31] = 1501113.000000;
m_Z[1][32] = 249601.000000;
m_Z[1][33] = 383646.000000;
m_Z[1][34] = 311465.000000;
m_Z[1][35] = 1591434.000000;
m_Z[1][36] = 817778.000000;
m_Z[1][37] = 906471.000000;
m_Z[1][38] = 1957765.000000;
m_Z[1][39] = 1024629.000000;
m_Z[1][40] = 1293944.000000;
m_Z[1][41] = 920355.000000;
m_Z[1][42] = 1956842.000000;
m_Z[1][43] = 1560762.000000;
m_Z[1][44] = 1931361.000000;
m_Z[1][45] = 1326024.000000;
m_Z[1][46] = 1838782.000000;
m_Z[1][47] = 205036.000000;
m_Z[1][48] = 1168592.000000;
m_Z[1][49] = 1081148.000000;
m_Z[1][50] = 1741196.000000;
m_Z[1][51] = 798779.000000;
m_Z[1][52] = 103289.000000;
m_Z[1][53] = 456865.000000;
m_Z[1][54] = 543444.000000;
m_Z[1][55] = 1407659.000000;
m_Z[1][56] = 1519187.000000;
m_Z[1][57] = 375135.000000;
m_Z[1][58] = 852668.000000;
m_Z[1][59] = 1772748.000000;
m_Z[1][60] = 134335.000000;
m_Z[1][61] = 687954.000000;
m_Z[1][62] = 1827437.000000;
m_Z[1][63] = 762331.000000;
m_Z[1][64] = 603293.000000;
m_Z[1][65] = 792405.000000;
m_Z[1][66] = 1822889.000000;
m_Z[1][67] = 28162.000000;
m_Z[1][68] = 119814.000000;
m_Z[1][69] = 1860604.000000;
m_Z[1][70] = 1121620.000000;
m_Z[1][71] = 1684701.000000;
m_Z[1][72] = 1077879.000000;
m_Z[1][73] = 1926145.000000;
m_Z[1][74] = 724391.000000;
m_Z[1][75] = 2115458.000000;
m_Z[1][76] = 7795.000000;
m_Z[1][77] = 1047352.000000;
m_Z[1][78] = 840371.000000;
m_Z[1][79] = 1476913.000000;
m_Z[1][80] = 1511875.000000;
m_Z[1][81] = 176943.000000;
m_Z[1][82] = 133643.000000;
m_Z[1][83] = 887549.000000;
m_Z[1][84] = 1812511.000000;
m_Z[1][85] = 17846.000000;
m_Z[1][86] = 603354.000000;
m_Z[1][87] = 1126207.000000;
m_Z[1][88] = 1232769.000000;
m_Z[1][89] = 196866.000000;
m_Z[1][90] = 681670.000000;
m_Z[1][91] = 664312.000000;
m_Z[1][92] = 291783.000000;
m_Z[1][93] = 1872033.000000;
m_Z[1][94] = 1054658.000000;
m_Z[1][95] = 689063.000000;
m_Z[1][96] = 1023127.000000;
m_Z[1][97] = 755405.000000;
m_Z[1][98] = 1742680.000000;
m_Z[1][99] = 1085702.000000;
m_Z[1][100] = 967574.000000;
m_Z[1][101] = 57139.000000;
m_Z[1][102] = 1967121.000000;
m_Z[1][103] = 155571.000000;
m_Z[1][104] = 22136.000000;
m_Z[1][105] = 876667.000000;
m_Z[1][106] = 1834178.000000;
m_Z[1][107] = 609363.000000;
m_Z[1][108] = 2082755.000000;
m_Z[1][109] = 195996.000000;
m_Z[1][110] = 1858837.000000;
m_Z[1][111] = 191434.000000;
m_Z[1][112] = 56269.000000;
m_Z[1][113] = 2036749.000000;
m_Z[1][114] = 504633.000000;
m_Z[1][115] = 1218606.000000;
m_Z[1][116] = 117861.000000;
m_Z[1][117] = 97979.000000;
m_Z[1][118] = 1988992.000000;
m_Z[1][119] = 2057725.000000;
m_Z[1][120] = 361376.000000;
m_Z[1][121] = 1357918.000000;
m_Z[1][122] = 928988.000000;
m_Z[1][123] = 543378.000000;
m_Z[1][124] = 1518102.000000;
m_Z[1][125] = 1585398.000000;
m_Z[1][126] = 957590.000000;
m_Z[1][127] = 84222.000000;
m_Z[1][128] = 1572125.000000;
m_Z[1][129] = 1017730.000000;
m_Z[1][130] = 1918768.000000;
m_Z[1][131] = 71380.000000;
m_Z[1][132] = 214801.000000;
m_Z[1][133] = 190478.000000;
m_Z[1][134] = 1240358.000000;
m_Z[1][135] = 2002441.000000;
m_Z[1][136] = 2077945.000000;
m_Z[1][137] = 1095170.000000;
m_Z[1][138] = 908149.000000;
m_Z[1][139] = 1424074.000000;
m_Z[1][140] = 1899931.000000;
m_Z[1][141] = 54489.000000;
m_Z[1][142] = 1944286.000000;
m_Z[1][143] = 931712.000000;
m_Z[1][144] = 964216.000000;
m_Z[1][145] = 817239.000000;
m_Z[1][146] = 1491468.000000;
m_Z[1][147] = 1804150.000000;
m_Z[1][148] = 754704.000000;
m_Z[1][149] = 1526318.000000;
m_Z[1][150] = 1261455.000000;
m_Z[1][151] = 1658306.000000;
m_Z[1][152] = 1138944.000000;
m_Z[1][153] = 740934.000000;
m_Z[1][154] = 872778.000000;
m_Z[1][155] = 931733.000000;
m_Z[1][156] = 445110.000000;
m_Z[1][157] = 156769.000000;
m_Z[1][158] = 1101183.000000;
m_Z[1][159] = 274844.000000;
m_Z[1][160] = 371715.000000;
m_Z[1][161] = 2082148.000000;
m_Z[1][162] = 1518744.000000;
m_Z[1][163] = 522768.000000;
m_Z[1][164] = 361869.000000;
m_Z[1][165] = 1427257.000000;
m_Z[1][166] = 1729193.000000;
m_Z[1][167] = 583271.000000;
m_Z[1][168] = 1734855.000000;
m_Z[1][169] = 2019046.000000;
m_Z[1][170] = 2051469.000000;
m_Z[1][171] = 10471.000000;
m_Z[1][172] = 671369.000000;
m_Z[1][173] = 1689988.000000;
m_Z[1][174] = 813742.000000;
m_Z[1][175] = 985851.000000;
m_Z[1][176] = 1701341.000000;
m_Z[1][177] = 1499903.000000;
m_Z[1][178] = 327022.000000;
m_Z[1][179] = 110924.000000;
m_Z[1][180] = 1472301.000000;
m_Z[1][181] = 1494097.000000;
m_Z[1][182] = 2073332.000000;
m_Z[1][183] = 686139.000000;
m_Z[1][184] = 259252.000000;
m_Z[1][185] = 1318475.000000;
m_Z[1][186] = 696237.000000;
m_Z[1][187] = 1232458.000000;
m_Z[1][188] = 1335898.000000;
m_Z[1][189] = 636697.000000;
m_Z[1][190] = 635087.000000;
m_Z[1][191] = 1913213.000000;
m_Z[1][192] = 838686.000000;
m_Z[1][193] = 1514290.000000;
m_Z[1][194] = 813316.000000;
m_Z[1][195] = 947732.000000;
m_Z[1][196] = 1333502.000000;
m_Z[1][197] = 322433.000000;
m_Z[1][198] = 871298.000000;
m_Z[1][199] = 368299.000000;
m_Z[1][200] = 580202.000000;
m_Z[1][201] = 638802.000000;
m_Z[1][202] = 1697618.000000;
m_Z[1][203] = 1467552.000000;
m_Z[1][204] = 5388.000000;
m_Z[1][205] = 432330.000000;
m_Z[1][206] = 1685650.000000;
m_Z[1][207] = 2100829.000000;
m_Z[1][208] = 572783.000000;
m_Z[1][209] = 398972.000000;
m_Z[1][210] = 39131.000000;
m_Z[1][211] = 2089804.000000;
m_Z[1][212] = 1262827.000000;
m_Z[1][213] = 337849.000000;
m_Z[1][214] = 939217.000000;
m_Z[1][215] = 1390430.000000;
m_Z[1][216] = 1862614.000000;
m_Z[1][217] = 187631.000000;
m_Z[1][218] = 126734.000000;
m_Z[1][219] = 1060630.000000;
m_Z[1][220] = 386496.000000;
m_Z[1][221] = 1626442.000000;
m_Z[1][222] = 890342.000000;
m_Z[1][223] = 887525.000000;
m_Z[1][224] = 2007208.000000;
m_Z[1][225] = 76483.000000;
with this it doesn't work but when i add one observation :
m_Z[1][226] = 58168.000000;
it works...
is it normal ? or is it a bug ?
thanks.
15 years, 2 months
Arima with exogenous variables.
by John C Frain
According to the users guide (see equation 20,8 on page 147 of the May
2010 version) the instruction
arima 0 1 1 ; 0 1 1 ; ln_vols ln_vol_exm_s ln_price ban_e const
should produce the same results as
arima 0 0 1 ; 0 0 1 ; d_sd_ln_vols d_sd_ln_vol_e d_sd_ln_price d_sd_ban_e
I am presuming that the constant is differenced along with the other x
variables. In effect it produces the same results as
arima 0 0 1 ; 0 0 1 ; d_sd_ln_vols d_sd_ln_vol_e d_sd_ln_price
d_sd_ban_e const
The instruction
arima 0 1 1 ; 0 1 1 ; ln_vols ln_vol_exm_s ln_price ban_e
does produce the result that I require.
Can anyone confirm that this is the intended behaviour.
--
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj@tcd.ie
mailto:frainj@gmail.com
15 years, 2 months
