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
12 years, 1 month
Paper advocating open source software and gretl
by Talha Yalta
Dear gretl users:
You might be interested to hear about my new paper entitled "Should
Economists Use Open Source Software for Doing Research?" published
this month in Computational Economics. The paper investigates
econometric software reliability and advocates the use of open source
software by taking gretl as a case study and showing how responsive
and transparent its development process is. I think many people here
might find it an interesting read.
More information and the download link is available here:
http://ideas.repec.org/a/kap/compec/v35y2010i4p371-394.html
I can send a working paper version if you do not have access to the above.
Cheers
A. Talha Yalta
--
“Remember not only to say the right thing in the right place, but far
more difficult still, to leave unsaid the wrong thing at the tempting
moment.” - Benjamin Franklin (1706-1790)
--
12 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.
12 years, 11 months
X-12-Arima
by Henrique Andrade
Dear Gretl Community,
I'm trying to perform a X-12-Arima analysis in a series but I'm getting this
error message:
"Error messages generated from processing the X-12-ARIMA spec file
teste.spc:
ERROR: Multiplicative or log additive seasonal adjustment cannot be
performed when
preadjustment factors are derived from a regARIMA model for data which have
not been
log transformed.
Check the values for the power or function arguments of the transform spec
and mode
of the x11 spec."
Looking at my data (attached) I think I'd found what's going on: the series
range goes
from 2001:01 to 2012.12, but my valid observations finish at 2010:07. The
remaining
observations are empty entries.
The X-12-Arima are trying to use these empty entries in the analysis and due
to this
are returning the error message.
In my humble opinion, it would be nice if X-12-Arima adjust the series range
automatically,
just like Gnuplot does when we plot the series.
What do you think?
Best regards,
--
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
12 years, 12 months
Re: [Gretl-users] how to set limits on variables values in forecasting?
by MICHAEL BOLDIN
>forecasting sales in my company and i'm using ARIMA with
regression. Sometimes, even if the model is well adjusted to the data,
when i try to get forecast for 3 months some of the values are below
0... what can i do to set a limit on that variable?
Most likely the model is not as well adjusted as you think. When
forecasting an item such as sales it is usually better to forecast the
percent sales growth (or equivalently the first different in the log
of sales). R2 will be much lower but the forecast standard error is
likely to more realistic. The Elements of Forecasting book by Frank
Diebold gives guidance on this type of forecasting -- i.e. whether
the forecasting model should be in levels or (percent) changes.
12 years, 12 months
how to set limits on variables values in forecasting?
by Łukasz Wojdowski
Hi :)
I'm new to gretl, and I'm from Poland so sorry for any language
misunderstandings.
Im currenty forecasting sales in my company and i'm using ARIMA with
regression. Sometimes, even if the model is well adjusted to the data,
when i try to get forecast for 3 months some of the values are below
0... what can i do to set a limit on that variable?
all the best for all gretl users!
Lukas
12 years, 12 months
Parameter changing over time
by Henrique Andrade
Dear Gretl Community,
I need to check if the impact of a specific variable (z) is growing over
time. More specifically, I need to estimate a model like this:
x(t) = a + b*y(t) + c(t)*z(t) + e(t)
The parameters "a" and "b" don't vary, but "c" does. I think this is
possible via the Kalman filter, but I'm not sure about that (unfortunately,
I don't master this filter).
Thanks in advance,
--
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
13 years
error message while trying to ./configure gretl-cvs
by artur tarassow
Hi,
after some time I wanted to update the newest cvs on my ubuntu 10.04
machine. Running the ./configure command leads to the following
message:
---------------------------
configuring for gretl 1.9.1cvs (library version 0.0.59)
checking for gcc... gcc
checking whether the C compiler works... yes
checking for C compiler default output file name... a.out
checking for suffix of executables...
checking whether we are cross compiling... configure: error: in
`/home/artur/cvs/gretl':
configure: error: cannot run C compiled programs.
If you meant to cross compile, use `--host'.
See `config.log' for more details
---------------------------
I tried to figure out what the problem is, but could not find any
solution to it.
Best,
Artur
13 years
VAR and VECM suggestion
by Henrique Andrade
Dear Gretl Developers,
In a VAR or VECM model window we have an option to save the residuals (Save
-> Residuals from equation...), but this is done one by one. What I would
like to suggest you is to insert an option to save the residuals from all
equations at the same time, something like "Save -> Residuals from all
equations".
The same behaviour would be very appreciated when saving the error
correction terms (Save -> EC term...).
Best regards,
--
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
13 years
Kalman filter and series components
by Julio Acuña
Greetings!
I need to know if it is possible to separate series into components by using the kalman filter with gretl, for example: state and measurement equations. if i understood the theory , it is possible to discompose any non stationary series into a a cyclical, trend and random component.
how would i plot these components and/or store the data.
Thanks in advance!!!!!
13 years
