Accessors for a restricted VECM
by Artur T.
Hi gretl community,
I am wondered that it is not possible to access the beta matrix of a
restricted VECM. The same holds for the short-run coefficients in this case.
I expected to obtain the respective values after estimating the
restricted model by
$jvbeta
$coeff
But gretl gives only the values for the unrestricted model. Maybe one
could implement the feature that one should get the values for the last
estimated model.(?)
Furthermore, is it possible to access the t-stat or std. error of the
short-run dynamics? $test gives only one value and no matrix output.
Best,
Artur
13 years, 11 months
Re: [Gretl-users] Gretl-users Digest, Vol 42, Issue 39
by MICHAEL BOLDIN
For PIN estimation in SAS, see the 2 examples you will find by
searching Google with "SAS PIN estimation"
You might be able to translate to GRETL, but if you have minimal
programming experience and no experience with MLE econometrics I
suggest first learning how to run some of simple MLE examples in the
GRETL manual.
Or you could decide it is easiest to use SAS and the programs 'AS IS'
>
> Message: 1
> Date: Thu, 29 Jul 2010 04:54:58 -0700 (PDT)
> From: Josephine Sudiman <jsudiman(a)yahoo.com>
> Subject: [Gretl-users] PIN Estimation
> To: gretl-users(a)lists.wfu.edu
> Message-ID: <201575.57102.qm(a)web53603.mail.re2.yahoo.com>
> Content-Type: text/plain; charset="iso-8859-1"
>
> Dear Allin and GRETL-users,
>
> Thank you for your kind response. I have read chapter 17, Maximum Likelihood
> Estimation, but still not sure from which angle I have to start. I never did
> this before and have a very minimal exposure on programming, except for some
> Macro at Excel.?I give some description of what the PIN (Probability of Informed
> Trading)model is about and the parameter.
>
>
> This model assumed that each day can be classified into either a day with
> information (with the probability x) or a day without information (with the
> probability 1-x).
>
>
> If the day is categorized as day without information, then only uninformed
> traders will do transactions (buy and sell)?during that day; the buy arrival
> rate of is eb and the sell arrival rate is es.
>
> If it is?a day with information, there are further possibilities:
> (1)The news is bad with probability d
> (2)The news is good with probability (1-d)
>
> If the case is day with good news, then the?sell arrival rate?is es and the buy
> arrival rate is u + eb.
> If the case is day with bad news, then the buy arrival rate is eb and the sell
> arrival rate is u + es.
>
> To be brief, u is the arrival rate of informed traders. These traders only act
> to buy (sell) if the day has good (bad) news. While eb is the buy?arrival rate
> of uninformed traders and es is the sell arrival rate of uninformed traders.
>
> We want to estimate this x,u,eb,es, and d using maximum likelihood estimation.
> The data that we have to estimate them comes from the daily number of buyer
> initiated trades (B) and daily seller initiated trades (S)?over the period P
> days. In my case I have 240 days, so I have B1 till B240 and S1 till 240 as my
> data set.
>
>
> ?L(0|B,S) = (1-x)e^-eb (eb^B/B!) e^-es (es^S/S!) +
> ?????????????????????? xde^-eb (eb^B/B!)e^-(u+es) (((u+es)^S)/S!)+
> ????????????????????? x(1-d)e^-(u+eb) ((u+eb)^B!)e^-es ((es^S)/S!)
> ?
> The model also has an assumption that arrival rates of informed and uninformed
> traders follow independent Poisson processes.
> ?
> I would be glad if there are people on the list who can give me a clue on how to
> start, as I am not sure what is alpha, beta and gamma in this model. Many thanks
> in advance for your kind attention.
> ?
> Best wishes,
> Josephine
>
>
>
>
13 years, 11 months
gretl crashes...
by Artur T.
Hi,
I am estimating a restricted VECM using the --jitter option. I run the
estimation several times using a loop function with the --progressive
option. I want to calculate the average likelihood value of the
restricted model, the average p-value for the LR test on the imposed
over-identifying restrictions and the average beta matrix. Applying the
loop only to the first two values works fine. But running the loop also
for the beta matrix results in a crash. Even if this option is not
supported for a matrix, gretl should not crash.
The basic loop looks like this:
----------
vecm 1 1 X
genr llB = $lnl
loop 100 --progressive --quiet
restrict --jitter
b[1,1]=0
end restrict
genr rlnl = $rlnl
genr LRB = pvalue(X, df, 2*(llB-rlnl))
matrix beta = $jbeta
print rlnl LRB
print beta
endloop
----------
Best wishes,
Artur
13 years, 11 months
Granger Causality Test
by Carlos Manuel Gratereaux Hernández
I am a teacher of Basic Econometric at UASD of Dominican Repúblic. Last
class I was working about Granger Causality Test with my students. I had to
use another econometric software because i didn't find this test in windows
language GRETL. How can I do it in GRETL?
Thanks.
2010/8/5 <gretl-users-request(a)lists.wfu.edu>
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> Today's Topics:
>
> 1. Re: Changing language (Greg Satell)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Thu, 5 Aug 2010 10:27:50 +0300
> From: "Greg Satell" <gregs(a)optimedia-tr.com>
> Subject: Re: [Gretl-users] Changing language
> To: "Gretl list" <gretl-users(a)lists.wfu.edu>
> Message-ID:
> <CF6851525A506047B4198E9F1824DD36800D52(a)ExchSrv.equinox-tr.local>
> Content-Type: text/plain; charset="us-ascii"
>
> Thx. I got it now!
>
>
>
> - Greg
>
>
>
> From: gretl-users-bounces(a)lists.wfu.edu
> [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Henrique Andrade
> Sent: Wednesday, August 04, 2010 3:45 PM
> To: Gretl list
> Subject: Re: [Gretl-users] Changing language
>
>
>
> Em 4 de agosto de 2010 Greg Satell <gregs(a)optimedia-tr.com> escreveu:
>
> Thx. I'll try it once I get someone who speaks Turkish to come
> and find tools for me. I'll let you know how it goes.
>
>
> Dear Greg, please take a look at the .jpg files I'd attached in this
> e-mail. The images explain how to change language from Turkish to
> English.
>
> Best,
> Henrique
>
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>
13 years, 11 months
Changing language
by Greg Satell
I'm in istanbul and the version I downloaded was automatically in
Turkish. Does anybody know how I change it to English?
Greg
13 years, 11 months
Ralph M Rodriguez/PO/KAIPERM is out of the office.
by Ralph.M.Rodriguez＠kp.org
I will be out of the office starting 08/02/2010 and will not return until
08/16/2010.
Hi All, I will be out of the office from Aug 2 through Aug 16, returning to
the office Aug 17, 2010. From Aug 2 to Aug 6, I will be working out of
office and will check mail daily. But, from Aug 6, afternoon until Aug 16 I
will be on PTO...Please, if you have an immediate question regarding Cost
Model or Construction Economics, please email or contact Brad A Njus, 510
625 4595, with your questions.
Thanks,
Ralph
13 years, 11 months
database problem
by artur bala
Hi Allin,
I saved a .gdt file as a gretl database. When I wanted to open the
database (.bin file) gretl pops up the error window "data error" and
couldn't load it.
best,
artur
--
*************************************
Artur BALA
Development Economist, Consultant
Phone: +216 24 71 00 80
E-mail: artur.bala.tn(a)gmail.com
skype: artur.bala.tn
*************************************
13 years, 11 months
