July 2010 - Gretl-users - gretlml.univpm.it

by Henrique Andrade

Dear Gretl Community, I'm a KPSS test newbie and I would like to request your help. Please take a look at the following small script: <script> open australia.gdt loop foreach i 0 1 2 3 4 --quiet kpss $i PAU endloop </script> Looking at the interpolated p-values I've found results that are greater than 1. I would like to know if this is possible. Best regards, -- Henrique C. de Andrade Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge

14 years, 8 months

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gretl crashes

by Artur T.

Hi, Using the newest cvs under Ubuntu 10.04, I try to estimate a restricted VECM (imposed restrictions on alpha and beta). But when I try to estimate it using the gui gretl crashes. Using a script this does not happen. The output is: ---------------- Got a cross-alpha restriction gretl_cholesky_decomp_solve: rcond = 9.02684e-07 (info = 0) gretl_cholesky_decomp_solve: rcond = 5.34278e-10 (info = 0) gretl_invert_symmetric_matrix: dpotrf failed with info = 4 (n = 10) input matrix (10 x 10) … [View More]

14 years, 8 months

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First time to plot a series after installation of gretl

by yinung＠Gmail

Dear all, Recently I found that if I plot a series right after a new installation of gretl for windows (typically upgrading to a new release), it takes a pretty long time to generate a graph. Some of my students might think that gretl is "dead" at that moment but in fact it is not. Does anyone have a clue about this? Thanks Yi-Nung Yang

14 years, 8 months

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list command in a loop environment

by Artur T.

Hi gretl community, I just tried to run a script which conducts an OLS estimation and ADF test based on a list of series. I am pretty sure that a while ago this worked fine. But now I receive the following error running a simple script as the one you find below: "? loop foreach i level Data types not conformable for operation" A similar script is the following: -------- list level = y yp r dp cf q q2 i debt_costs dulc poil debt_networth debt_equity loop foreach i level ols $i const … [View More]

14 years, 8 months

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Simple way to construct the index of a series??

by Artur T.

Hi gretl community, is there a simple way to generate a index series of a variable, e.g. Lapeyres (year x =100) or Paasche?? At the moment I use a spreadsheet to construct it easily but this requires the ex- and import of the series of interest every time... Thanks in advance! artur

14 years, 8 months

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panel unit root tests in CVS

by Allin Cottrell

The topic of testing for unit roots in panel data came up here not so long ago. In CVS and the gretl snapshots for Windows and OS X there's now code in place for doing such testing. It's not in the GUI yet (and neither is it documented), but is implemented as an extension to the existing "adf" command. If anyone's interested in testing, I'd appreciate any comments. Here's the story. If you issue the "adf" command with panel data you get (a) a brief account of the test for each panel unit plus … [View More](b) a joint test for al units, if possible. (The per-unit test output should probably be suppressed if there's an excessive number of units in the panel, but right now you always get it.) A couple of restrictions. First, with the regular adf test for time-series data you can supply a list containing more than one series and get multiple tests, but with panel data we do only one series per command; if the input list contains more than one series we ignore all but the first one. Second, the regular adf command defaults to performing 3 variants of the test -- with constant, with linear trend, and with quadratic trend -- though you can change that via the command options. With panel data we only do one variant at a time, by default the test with constant. Some details: The joint tests have the null hypothesis that the selected series is non-stationary for all panel units; the alternative is that the series is stationary for at least one unit. The test statistics are taken from Im, Pesaran and Shin (Journal of Econometrics, 2003) and Choi (Journal of International Money and Finance, 2001). The IPS test involves computing the average value of the Dickey-Fuller t-statistic (t_bar). If the lag order for the test is non-zero, t_bar is referred to the distribution that IPS call W_tbar, which is asymptotically N(0,1). If the lag order is zero but the time-series length differs across the units, we use the IPS Z_tbar statistic, which again is N(0,1) asymptotically. If the order is zero and T is the same for all units we report exact critical values as tabulated in the IPS article. (Note that the IPS test cannot be done if the --gls option to the adf command is given. There are also constraints on the minimal T for each unit.) The other test reported (Choi) is based on the p-values from the per-unit Dickey-Fuller tests. Three variants are given: the inverse chi-square, inverse normal and logit tests. These differ in how the p-values are "aggregated" and the distribution that the resulting statistic follows. For the inverse chi-square test the null is rejected if the chi-square value is big enough; for the others it is rejected if the test statistic takes on a large enough negative value (which is also the case for all variants of the IPS test). I've tested some of this against the ipshin.ado extension that's available for stata. We're pretty close in the cases I've tried but I'm not sure that ipshin gets everything right so I'm not necessarily trying to replicate exactly it reports. If anyone can test against other IPS or Choi test implementations that would be of interest. Allin Cottrell [View Less]

14 years, 8 months

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"gig"?

by Olle Olsson

Hi, I just downloaded version 1.9.1 for Windows and in the Variables>Time Series menu in the GUI, there is a strange item entitled "gig". What's this? /Olle Olsson, Sweden

14 years, 8 months

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panel unit root tests

by Francisco López Herrera

The point is that when I open a panel data structured data set the adf test is nos allowable, so my question is: how can I conduct panel data unit root test?...With my best regards...flh(Parameswara das) ________________________________ De: "gretl-users-request(a)lists.wfu.edu" <gretl-users-request(a)lists.wfu.edu> Para: gretl-users(a)lists.wfu.edu Enviado: lunes, 12 de julio, 2010 17:44:32 Asunto: Gretl-users Digest, Vol 42, Issue 17 Send Gretl-users mailing list submissions to … [View More] gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: Gretl-users Digest, Vol 42, Issue 16 (Francisco L?pez Herrera) ---------------------------------------------------------------------- Message: 1 Date: Mon, 12 Jul 2010 15:44:30 -0700 (PDT) From: Francisco L?pez Herrera <francisco_lopez_herrera(a)yahoo.com.mx> Subject: Re: [Gretl-users] Gretl-users Digest, Vol 42, Issue 16 To: gretl-users(a)lists.wfu.edu Message-ID: <177798.99016.qm(a)web52901.mail.re2.yahoo.com> Content-Type: text/plain; charset="iso-8859-1" Excuse me, but how can I issue the adf test with panel data?...flh(Parmeswara das) ________________________________ De: "gretl-users-request(a)lists.wfu.edu" <gretl-users-request(a)lists.wfu.edu> Para: gretl-users(a)lists.wfu.edu Enviado: lunes, 12 de julio, 2010 16:47:07 Asunto: Gretl-users Digest, Vol 42, Issue 16 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. panel unit root tests in CVS (Allin Cottrell) 2. Re: panel unit root tests in CVS (Anutechia Asongu) 3. Re: panel unit root tests in CVS (Summers, Peter) 4. Re: panel unit root tests in CVS (Allin Cottrell) 5. Re: panel unit root tests in CVS (Anutechia Asongu) ---------------------------------------------------------------------- Message: 1 Date: Mon, 12 Jul 2010 14:13:43 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu> Subject: [Gretl-users] panel unit root tests in CVS To: Gretl users <gretl-users(a)lists.wfu.edu> Message-ID: <Pine.A41.4.58.1007121339540.2785386(a)f1n11.sp2net.wfu.edu> Content-Type: TEXT/PLAIN; charset=US-ASCII The topic of testing for unit roots in panel data came up here not so long ago. In CVS and the gretl snapshots for Windows and OS X there's now code in place for doing such testing. It's not in the GUI yet (and neither is it documented), but is implemented as an extension to the existing "adf" command. If anyone's interested in testing, I'd appreciate any comments. Here's the story. If you issue the "adf" command with panel data you get (a) a brief account of the test for each panel unit plus (b) a joint test for al units, if possible. (The per-unit test output should probably be suppressed if there's an excessive number of units in the panel, but right now you always get it.) A couple of restrictions. First, with the regular adf test for time-series data you can supply a list containing more than one series and get multiple tests, but with panel data we do only one series per command; if the input list contains more than one series we ignore all but the first one. Second, the regular adf command defaults to performing 3 variants of the test -- with constant, with linear trend, and with quadratic trend -- though you can change that via the command options. With panel data we only do one variant at a time, by default the test with constant. Some details: The joint tests have the null hypothesis that the selected series is non-stationary for all panel units; the alternative is that the series is stationary for at least one unit. The test statistics are taken from Im, Pesaran and Shin (Journal of Econometrics, 2003) and Choi (Journal of International Money and Finance, 2001). The IPS test involves computing the average value of the Dickey-Fuller t-statistic (t_bar). If the lag order for the test is non-zero, t_bar is referred to the distribution that IPS call W_tbar, which is asymptotically N(0,1). If the lag order is zero but the time-series length differs across the units, we use the IPS Z_tbar statistic, which again is N(0,1) asymptotically. If the order is zero and T is the same for all units we report exact critical values as tabulated in the IPS article. (Note that the IPS test cannot be done if the --gls option to the adf command is given. There are also constraints on the minimal T for each unit.) The other test reported (Choi) is based on the p-values from the per-unit Dickey-Fuller tests. Three variants are given: the inverse chi-square, inverse normal and logit tests. These differ in how the p-values are "aggregated" and the distribution that the resulting statistic follows. For the inverse chi-square test the null is rejected if the chi-square value is big enough; for the others it is rejected if the test statistic takes on a large enough negative value (which is also the case for all variants of the IPS test). I've tested some of this against the ipshin.ado extension that's available for stata. We're pretty close in the cases I've tried but I'm not sure that ipshin gets everything right so I'm not necessarily trying to replicate exactly it reports. If anyone can test against other IPS or Choi test implementations that would be of interest. Allin Cottrell ------------------------------ Message: 2 Date: Mon, 12 Jul 2010 11:28:55 -0700 (PDT) From: Anutechia Asongu <simplice_peace(a)yahoo.com> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <578737.56898.qm(a)web110307.mail.gq1.yahoo.com> Content-Type: text/plain; charset="iso-8859-1" Hi Cottrell, ?????????????? I must? appreciate your concern for this issue. Infact, I brought up the issue of panel unit test some while ago here. I have two major concerns; -Do I need to download the software again in a? bid to get this additional properties of Panel unit incorporated? -What about Panel Cointegration and Panel VEC/VAR?. Any idea on what the headway could be? ???????????? Thanks in advance --- On Mon, 7/12/10, Allin Cottrell <cottrell(a)wfu.edu> wrote: From: Allin Cottrell <cottrell(a)wfu.edu> Subject: [Gretl-users] panel unit root tests in CVS To: "Gretl users" <gretl-users(a)lists.wfu.edu> Date: Monday, July 12, 2010, 11:13 AM The topic of testing for unit roots in panel data came up here not so long ago. In CVS and the gretl snapshots for Windows and OS X there's now code in place for doing such testing. It's not in the GUI yet (and neither is it documented), but is implemented as an extension to the existing "adf" command. If anyone's interested in testing, I'd appreciate any comments. Here's the story. If you issue the "adf" command with panel data you get (a) a brief account of the test for each panel unit plus (b) a joint test for al units, if possible. (The per-unit test output should probably be suppressed if there's an excessive number of units in the panel, but right now you always get it.) A couple of restrictions. First, with the regular adf test for time-series data you can supply a list containing more than one series and get multiple tests, but with panel data we do only one series per command; if the input list contains more than one series we ignore all but the first one. Second, the regular adf command defaults to performing 3 variants of the test -- with constant, with linear trend, and with quadratic trend -- though you can change that via the command options. With panel data we only do one variant at a time, by default the test with constant. Some details: The joint tests have the null hypothesis that the selected series is non-stationary for all panel units; the alternative is that the series is stationary for at least one unit. The test statistics are taken from Im, Pesaran and Shin (Journal of Econometrics, 2003) and Choi (Journal of International Money and Finance, 2001). The IPS test involves computing the average value of the Dickey-Fuller t-statistic (t_bar). If the lag order for the test is non-zero, t_bar is referred to the distribution that IPS call W_tbar, which is asymptotically N(0,1). If the lag order is zero but the time-series length differs across the units, we use the IPS Z_tbar statistic, which again is N(0,1) asymptotically. If the order is zero and T is the same for all units we report exact critical values as tabulated in the IPS article. (Note that the IPS test cannot be done if the --gls option to the adf command is given. There are also constraints on the minimal T for each unit.) The other test reported (Choi) is based on the p-values from the per-unit Dickey-Fuller tests. Three variants are given: the inverse chi-square, inverse normal and logit tests. These differ in how the p-values are "aggregated" and the distribution that the resulting statistic follows. For the inverse chi-square test the null is rejected if the chi-square value is big enough; for the others it is rejected if the test statistic takes on a large enough negative value (which is also the case for all variants of the IPS test). I've tested some of this against the ipshin.ado extension that's available for stata. We're pretty close in the cases I've tried but I'm not sure that ipshin gets everything right so I'm not necessarily trying to replicate exactly it reports. If anyone can test against other IPS or Choi test implementations that would be of interest. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20100712/dcecb262/... ------------------------------ Message: 3 Date: Mon, 12 Jul 2010 14:30:53 -0500 From: "Summers, Peter" <peter.summers(a)ttu.edu> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <8885DA157278484489B1EBC8B8C043E3FDC4B234DA(a)COTTUS.ttu.edu> Content-Type: text/plain; charset="us-ascii" Allin, Many thanks for implementing this! Once again your development work is highly correlated with my current projects ;-). I've successfully run the new command & everything seems sensible (I haven't tried other implementations so nothing to compare to). One question/suggestion though: To use the new feature, I had to create a new panel data set from an existing time series one. This was no problem given the example on p. 25 of the guide, but I was wondering if it would be possible to have something like a "--panel" option to use with a list of series. Something like list varlist = gdp cons inv adf 0 varlist --panel So you'd get the IPS & Choi tests at the end. Would that be feasible and/or have non-negligible demand? PS -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Allin Cottrell Sent: Monday, July 12, 2010 1:14 PM To: Gretl users Subject: [Gretl-users] panel unit root tests in CVS The topic of testing for unit roots in panel data came up here not so long ago. In CVS and the gretl snapshots for Windows and OS X there's now code in place for doing such testing. It's not in the GUI yet (and neither is it documented), but is implemented as an extension to the existing "adf" command. If anyone's interested in testing, I'd appreciate any comments. Here's the story. If you issue the "adf" command with panel data you get (a) a brief account of the test for each panel unit plus (b) a joint test for al units, if possible. (The per-unit test output should probably be suppressed if there's an excessive number of units in the panel, but right now you always get it.) A couple of restrictions. First, with the regular adf test for time-series data you can supply a list containing more than one series and get multiple tests, but with panel data we do only one series per command; if the input list contains more than one series we ignore all but the first one. Second, the regular adf command defaults to performing 3 variants of the test -- with constant, with linear trend, and with quadratic trend -- though you can change that via the command options. With panel data we only do one variant at a time, by default the test with constant. Some details: The joint tests have the null hypothesis that the selected series is non-stationary for all panel units; the alternative is that the series is stationary for at least one unit. The test statistics are taken from Im, Pesaran and Shin (Journal of Econometrics, 2003) and Choi (Journal of International Money and Finance, 2001). The IPS test involves computing the average value of the Dickey-Fuller t-statistic (t_bar). If the lag order for the test is non-zero, t_bar is referred to the distribution that IPS call W_tbar, which is asymptotically N(0,1). If the lag order is zero but the time-series length differs across the units, we use the IPS Z_tbar statistic, which again is N(0,1) asymptotically. If the order is zero and T is the same for all units we report exact critical values as tabulated in the IPS article. (Note that the IPS test cannot be done if the --gls option to the adf command is given. There are also constraints on the minimal T for each unit.) The other test reported (Choi) is based on the p-values from the per-unit Dickey-Fuller tests. Three variants are given: the inverse chi-square, inverse normal and logit tests. These differ in how the p-values are "aggregated" and the distribution that the resulting statistic follows. For the inverse chi-square test the null is rejected if the chi-square value is big enough; for the others it is rejected if the test statistic takes on a large enough negative value (which is also the case for all variants of the IPS test). I've tested some of this against the ipshin.ado extension that's available for stata. We're pretty close in the cases I've tried but I'm not sure that ipshin gets everything right so I'm not necessarily trying to replicate exactly it reports. If anyone can test against other IPS or Choi test implementations that would be of interest. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ------------------------------ Message: 4 Date: Mon, 12 Jul 2010 17:36:46 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <Pine.A41.4.58.1007121732460.1589636(a)f1n11.sp2net.wfu.edu> Content-Type: TEXT/PLAIN; charset=UTF-8 On Mon, 12 Jul 2010, Anutechia Asongu wrote: > I must appreciate your concern for this issue. Infact, I brought > up the issue of panel unit test some while ago here. I have two > major concerns; > -Do I need to download the software again in a? bid to get this > additional properties of Panel unit incorporated? If you want to use newly added features then, yes, you will have to download the latest snapshot. > -What about Panel Cointegration and Panel VEC/VAR?. Any idea on > what the headway could be? Our priority on panel data right now is fuller support for dynamic panel models (i.e. adding Blundell-Bond). I'm not sure when support for cointegration analysis might follow. Allin Cottrell ------------------------------ Message: 5 Date: Mon, 12 Jul 2010 14:47:04 -0700 (PDT) From: Anutechia Asongu <simplice_peace(a)yahoo.com> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <157560.9284.qm(a)web110306.mail.gq1.yahoo.com> Content-Type: text/plain; charset="iso-8859-1" Many Thanks Allin, I'll do that right away. WE BECOME THE CHANGE WE WANT ?????????????? www.pleho.org --- On Mon, 7/12/10, Allin Cottrell <cottrell(a)wfu.edu> wrote: From: Allin Cottrell <cottrell(a)wfu.edu> Subject: Re: [Gretl-users] panel unit root tests in CVS To: "Gretl list" <gretl-users(a)lists.wfu.edu> Date: Monday, July 12, 2010, 2:36 PM On Mon, 12 Jul 2010, Anutechia Asongu wrote: > I must appreciate your concern for this issue. Infact, I brought > up the issue of panel unit test some while ago here. I have two > major concerns; > -Do I need to download the software again in a? bid to get this > additional properties of Panel unit incorporated? If you want to use newly added features then, yes, you will have to download the latest snapshot. > -What about Panel Cointegration and Panel VEC/VAR?. Any idea on > what the headway could be? Our priority on panel data right now is fuller support for dynamic panel models (i.e. adding Blundell-Bond). I'm not sure when support for cointegration analysis might follow. Allin Cottrell -----Inline Attachment Follows----- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20100712/cd29e6e9/... ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 42, Issue 16 ******************************************* -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20100712/0bc646a6/... ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 42, Issue 17 ******************************************* [View Less]

14 years, 8 months

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Re: [Gretl-users] Gretl-users Digest, Vol 42, Issue 16

by Francisco López Herrera

Excuse me, but how can I issue the adf test with panel data?...flh(Parmeswara das) ________________________________ De: "gretl-users-request(a)lists.wfu.edu" <gretl-users-request(a)lists.wfu.edu> Para: gretl-users(a)lists.wfu.edu Enviado: lunes, 12 de julio, 2010 16:47:07 Asunto: Gretl-users Digest, Vol 42, Issue 16 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/… [View More]listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. panel unit root tests in CVS (Allin Cottrell) 2. Re: panel unit root tests in CVS (Anutechia Asongu) 3. Re: panel unit root tests in CVS (Summers, Peter) 4. Re: panel unit root tests in CVS (Allin Cottrell) 5. Re: panel unit root tests in CVS (Anutechia Asongu) ---------------------------------------------------------------------- Message: 1 Date: Mon, 12 Jul 2010 14:13:43 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu> Subject: [Gretl-users] panel unit root tests in CVS To: Gretl users <gretl-users(a)lists.wfu.edu> Message-ID: <Pine.A41.4.58.1007121339540.2785386(a)f1n11.sp2net.wfu.edu> Content-Type: TEXT/PLAIN; charset=US-ASCII The topic of testing for unit roots in panel data came up here not so long ago. In CVS and the gretl snapshots for Windows and OS X there's now code in place for doing such testing. It's not in the GUI yet (and neither is it documented), but is implemented as an extension to the existing "adf" command. If anyone's interested in testing, I'd appreciate any comments. Here's the story. If you issue the "adf" command with panel data you get (a) a brief account of the test for each panel unit plus (b) a joint test for al units, if possible. (The per-unit test output should probably be suppressed if there's an excessive number of units in the panel, but right now you always get it.) A couple of restrictions. First, with the regular adf test for time-series data you can supply a list containing more than one series and get multiple tests, but with panel data we do only one series per command; if the input list contains more than one series we ignore all but the first one. Second, the regular adf command defaults to performing 3 variants of the test -- with constant, with linear trend, and with quadratic trend -- though you can change that via the command options. With panel data we only do one variant at a time, by default the test with constant. Some details: The joint tests have the null hypothesis that the selected series is non-stationary for all panel units; the alternative is that the series is stationary for at least one unit. The test statistics are taken from Im, Pesaran and Shin (Journal of Econometrics, 2003) and Choi (Journal of International Money and Finance, 2001). The IPS test involves computing the average value of the Dickey-Fuller t-statistic (t_bar). If the lag order for the test is non-zero, t_bar is referred to the distribution that IPS call W_tbar, which is asymptotically N(0,1). If the lag order is zero but the time-series length differs across the units, we use the IPS Z_tbar statistic, which again is N(0,1) asymptotically. If the order is zero and T is the same for all units we report exact critical values as tabulated in the IPS article. (Note that the IPS test cannot be done if the --gls option to the adf command is given. There are also constraints on the minimal T for each unit.) The other test reported (Choi) is based on the p-values from the per-unit Dickey-Fuller tests. Three variants are given: the inverse chi-square, inverse normal and logit tests. These differ in how the p-values are "aggregated" and the distribution that the resulting statistic follows. For the inverse chi-square test the null is rejected if the chi-square value is big enough; for the others it is rejected if the test statistic takes on a large enough negative value (which is also the case for all variants of the IPS test). I've tested some of this against the ipshin.ado extension that's available for stata. We're pretty close in the cases I've tried but I'm not sure that ipshin gets everything right so I'm not necessarily trying to replicate exactly it reports. If anyone can test against other IPS or Choi test implementations that would be of interest. Allin Cottrell ------------------------------ Message: 2 Date: Mon, 12 Jul 2010 11:28:55 -0700 (PDT) From: Anutechia Asongu <simplice_peace(a)yahoo.com> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <578737.56898.qm(a)web110307.mail.gq1.yahoo.com> Content-Type: text/plain; charset="iso-8859-1" Hi Cottrell, ?????????????? I must? appreciate your concern for this issue. Infact, I brought up the issue of panel unit test some while ago here. I have two major concerns; -Do I need to download the software again in a? bid to get this additional properties of Panel unit incorporated? -What about Panel Cointegration and Panel VEC/VAR?. Any idea on what the headway could be? ???????????? Thanks in advance --- On Mon, 7/12/10, Allin Cottrell <cottrell(a)wfu.edu> wrote: From: Allin Cottrell <cottrell(a)wfu.edu> Subject: [Gretl-users] panel unit root tests in CVS To: "Gretl users" <gretl-users(a)lists.wfu.edu> Date: Monday, July 12, 2010, 11:13 AM The topic of testing for unit roots in panel data came up here not so long ago. In CVS and the gretl snapshots for Windows and OS X there's now code in place for doing such testing. It's not in the GUI yet (and neither is it documented), but is implemented as an extension to the existing "adf" command. If anyone's interested in testing, I'd appreciate any comments. Here's the story. If you issue the "adf" command with panel data you get (a) a brief account of the test for each panel unit plus (b) a joint test for al units, if possible. (The per-unit test output should probably be suppressed if there's an excessive number of units in the panel, but right now you always get it.) A couple of restrictions. First, with the regular adf test for time-series data you can supply a list containing more than one series and get multiple tests, but with panel data we do only one series per command; if the input list contains more than one series we ignore all but the first one. Second, the regular adf command defaults to performing 3 variants of the test -- with constant, with linear trend, and with quadratic trend -- though you can change that via the command options. With panel data we only do one variant at a time, by default the test with constant. Some details: The joint tests have the null hypothesis that the selected series is non-stationary for all panel units; the alternative is that the series is stationary for at least one unit. The test statistics are taken from Im, Pesaran and Shin (Journal of Econometrics, 2003) and Choi (Journal of International Money and Finance, 2001). The IPS test involves computing the average value of the Dickey-Fuller t-statistic (t_bar). If the lag order for the test is non-zero, t_bar is referred to the distribution that IPS call W_tbar, which is asymptotically N(0,1). If the lag order is zero but the time-series length differs across the units, we use the IPS Z_tbar statistic, which again is N(0,1) asymptotically. If the order is zero and T is the same for all units we report exact critical values as tabulated in the IPS article. (Note that the IPS test cannot be done if the --gls option to the adf command is given. There are also constraints on the minimal T for each unit.) The other test reported (Choi) is based on the p-values from the per-unit Dickey-Fuller tests. Three variants are given: the inverse chi-square, inverse normal and logit tests. These differ in how the p-values are "aggregated" and the distribution that the resulting statistic follows. For the inverse chi-square test the null is rejected if the chi-square value is big enough; for the others it is rejected if the test statistic takes on a large enough negative value (which is also the case for all variants of the IPS test). I've tested some of this against the ipshin.ado extension that's available for stata. We're pretty close in the cases I've tried but I'm not sure that ipshin gets everything right so I'm not necessarily trying to replicate exactly it reports. If anyone can test against other IPS or Choi test implementations that would be of interest. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20100712/dcecb262/... ------------------------------ Message: 3 Date: Mon, 12 Jul 2010 14:30:53 -0500 From: "Summers, Peter" <peter.summers(a)ttu.edu> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <8885DA157278484489B1EBC8B8C043E3FDC4B234DA(a)COTTUS.ttu.edu> Content-Type: text/plain; charset="us-ascii" Allin, Many thanks for implementing this! Once again your development work is highly correlated with my current projects ;-). I've successfully run the new command & everything seems sensible (I haven't tried other implementations so nothing to compare to). One question/suggestion though: To use the new feature, I had to create a new panel data set from an existing time series one. This was no problem given the example on p. 25 of the guide, but I was wondering if it would be possible to have something like a "--panel" option to use with a list of series. Something like list varlist = gdp cons inv adf 0 varlist --panel So you'd get the IPS & Choi tests at the end. Would that be feasible and/or have non-negligible demand? PS -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Allin Cottrell Sent: Monday, July 12, 2010 1:14 PM To: Gretl users Subject: [Gretl-users] panel unit root tests in CVS The topic of testing for unit roots in panel data came up here not so long ago. In CVS and the gretl snapshots for Windows and OS X there's now code in place for doing such testing. It's not in the GUI yet (and neither is it documented), but is implemented as an extension to the existing "adf" command. If anyone's interested in testing, I'd appreciate any comments. Here's the story. If you issue the "adf" command with panel data you get (a) a brief account of the test for each panel unit plus (b) a joint test for al units, if possible. (The per-unit test output should probably be suppressed if there's an excessive number of units in the panel, but right now you always get it.) A couple of restrictions. First, with the regular adf test for time-series data you can supply a list containing more than one series and get multiple tests, but with panel data we do only one series per command; if the input list contains more than one series we ignore all but the first one. Second, the regular adf command defaults to performing 3 variants of the test -- with constant, with linear trend, and with quadratic trend -- though you can change that via the command options. With panel data we only do one variant at a time, by default the test with constant. Some details: The joint tests have the null hypothesis that the selected series is non-stationary for all panel units; the alternative is that the series is stationary for at least one unit. The test statistics are taken from Im, Pesaran and Shin (Journal of Econometrics, 2003) and Choi (Journal of International Money and Finance, 2001). The IPS test involves computing the average value of the Dickey-Fuller t-statistic (t_bar). If the lag order for the test is non-zero, t_bar is referred to the distribution that IPS call W_tbar, which is asymptotically N(0,1). If the lag order is zero but the time-series length differs across the units, we use the IPS Z_tbar statistic, which again is N(0,1) asymptotically. If the order is zero and T is the same for all units we report exact critical values as tabulated in the IPS article. (Note that the IPS test cannot be done if the --gls option to the adf command is given. There are also constraints on the minimal T for each unit.) The other test reported (Choi) is based on the p-values from the per-unit Dickey-Fuller tests. Three variants are given: the inverse chi-square, inverse normal and logit tests. These differ in how the p-values are "aggregated" and the distribution that the resulting statistic follows. For the inverse chi-square test the null is rejected if the chi-square value is big enough; for the others it is rejected if the test statistic takes on a large enough negative value (which is also the case for all variants of the IPS test). I've tested some of this against the ipshin.ado extension that's available for stata. We're pretty close in the cases I've tried but I'm not sure that ipshin gets everything right so I'm not necessarily trying to replicate exactly it reports. If anyone can test against other IPS or Choi test implementations that would be of interest. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ------------------------------ Message: 4 Date: Mon, 12 Jul 2010 17:36:46 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <Pine.A41.4.58.1007121732460.1589636(a)f1n11.sp2net.wfu.edu> Content-Type: TEXT/PLAIN; charset=UTF-8 On Mon, 12 Jul 2010, Anutechia Asongu wrote: > I must appreciate your concern for this issue. Infact, I brought > up the issue of panel unit test some while ago here. I have two > major concerns; > -Do I need to download the software again in a? bid to get this > additional properties of Panel unit incorporated? If you want to use newly added features then, yes, you will have to download the latest snapshot. > -What about Panel Cointegration and Panel VEC/VAR?. Any idea on > what the headway could be? Our priority on panel data right now is fuller support for dynamic panel models (i.e. adding Blundell-Bond). I'm not sure when support for cointegration analysis might follow. Allin Cottrell ------------------------------ Message: 5 Date: Mon, 12 Jul 2010 14:47:04 -0700 (PDT) From: Anutechia Asongu <simplice_peace(a)yahoo.com> Subject: Re: [Gretl-users] panel unit root tests in CVS To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <157560.9284.qm(a)web110306.mail.gq1.yahoo.com> Content-Type: text/plain; charset="iso-8859-1" Many Thanks Allin, I'll do that right away. WE BECOME THE CHANGE WE WANT ?????????????? www.pleho.org --- On Mon, 7/12/10, Allin Cottrell <cottrell(a)wfu.edu> wrote: From: Allin Cottrell <cottrell(a)wfu.edu> Subject: Re: [Gretl-users] panel unit root tests in CVS To: "Gretl list" <gretl-users(a)lists.wfu.edu> Date: Monday, July 12, 2010, 2:36 PM On Mon, 12 Jul 2010, Anutechia Asongu wrote: > I must appreciate your concern for this issue. Infact, I brought > up the issue of panel unit test some while ago here. I have two > major concerns; > -Do I need to download the software again in a? bid to get this > additional properties of Panel unit incorporated? If you want to use newly added features then, yes, you will have to download the latest snapshot. > -What about Panel Cointegration and Panel VEC/VAR?. Any idea on > what the headway could be? Our priority on panel data right now is fuller support for dynamic panel models (i.e. adding Blundell-Bond). I'm not sure when support for cointegration analysis might follow. Allin Cottrell -----Inline Attachment Follows----- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20100712/cd29e6e9/... ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 42, Issue 16 ******************************************* [View Less]

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gretlpre.tex problem

by Robert Levinson

Hi all - I'm having trouble getting TeX to work properly with Gretl 1.9.1 under Mac OS X 10.6.4. Suppose for instance that I want to see the results of an OLS regression as TeX output (the problem surfaces no matter what procedure I run). After running the regression I choose the LaTeX drop-down menu and select View -> Tabular. I get an error box that says it "Failed to process TeX file". On closing that error a log becomes visible, saying at the beginning -- ----------- This is … [View More]

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Gretl-users July 2010