Re: [Gretl-users] Help with GIG package
by cociuba
Thank you for your quick response.
-I think that it would be helpful for newbie users (like me) to find GIG
manual much easier (like for example a link in the help window from GIG
gui).
- I understand, now, how to calculate TARCH model from gretl (thanks for
the info).
- I am using GRETL 1.9.4, build date 27.02, compiled from sources so
it's almost up to date :-)
- I have seen in the function files that there is a GJR- Garch in Mean,
is there any possibility to use that for reproducing the examples in
Principles of Econometrics.
Thank you for your help, Mihai
14 years, 2 months
Re: [Gretl-users] print pmean just once
by Allin Cottrell
On Tue, 8 Mar 2011, Leandro Zipitria wrote:
> I am working with a panel and I want to get the mean for each
> unit, but just once. If I use the pmean(x) I get the mean of
> each unit repeated for each observation in that unit.
The quick method:
matrix pmx = values(pmean(x))
But if two or more panel groups have the same mean for x this will
drop the duplicates, which is probably not what you want. In that
case you can ensure you get the full vector of means via
genr time
series tmp = pmean(x)
smpl time == 1 --restrict
matrix pmx = tmp
smpl --full
Allin Cottrell
14 years, 2 months
Re: [Gretl-users] Help with GIG package
by Allin Cottrell
On Tue, 8 Mar 2011, cociuba wrote:
> -I think that it would be helpful for newbie users (like me) to find GIG
> manual much easier (like for example a link in the help window from GIG
> gui).
The Help button in the gig GUI (/Model/Time series/gig...) opens
the gig manual.
Allin Cottrell
14 years, 2 months
print pmean just once
by Leandro Zipitria
Dear Gretl community,
I am working with a panel and I want to get the mean for each unit, but just
once. If I use the pmean(x) I get the mean of each unit repeated for each
observation in that unit.
Is there any way to get the mean of each unit once?
As an example, I have a variable call Sales, so I use the following:
printf "Proportion of sales (in percentage) %g \n", pmean(sales)*100
But I get repeated the mean of the unit.
As an example, If I have just one unit, that is no panel at all, then mean
is a scalar and get printed just once.
Best regards,
Leandro
14 years, 2 months
Re: [Gretl-users] Help on simultaneousus equation model
by Allin Cottrell
On Mon, 7 Mar 2011, Lemma Tenessa wrote:
> Thanks so much for your kind and informative response on my question
> entitled *“**Help on simultaneousus equation model”***
>
> In this regard I have got sufficent answers on the questions I asked you.
> Nevertheless, I still want your suggestions on predicted probabilities and
> their application to reduced form equations and if there is that sort of
> application in GRETL.
>
> I understand now GRETL does not predict probabilities rather give us fitted
> or residual values after we estimate an ordered probit model and ask the
> program to generated predicted values.
After estimating an ordered probit you can use the "fcast"
command to generate a series of predictions for the ordinal
dependent variable. I guess that in a two-stage procedure you
would replace the actual ordinal values of your P and D variables
with the first-stage predictions.
However, I don't know if applying ordered probit again at a second
step would give you any kind of consistent estimator. You may be
better approaching this as a maximum likelihood problem (see
gretl's "mle" command).
What you're asking here is not really specific to gretl. You'll
need to examine the literature on IV methods as applied to the
sort of data you have. It looks as if these references might be
useful:
Andrew Chesher, "Instrumental Variable Models for Discrete
Outcomes", http://www.econ.uiuc.edu/~roger/seminar/Chesher.pdf
Skrondal, A. and Rabe-Hesketh, S. (2004). Generalized latent
variable modeling: Multilevel, longitudinal and structural
equation models (Chapman & Hall).
Allin Cottrell
14 years, 2 months
Re: [Gretl-users] Odd Behavior with Saving Data, Sessions, and Scripts
by Allin Cottrell
On Sun, 6 Mar 2011, Henrique Andrade wrote:
> When I try to save data (or session, or script) files with dots
> in the names, using the GUI, Gretl assumes that all the comes
> after that point is an extension name. Suppose I have to create
> three files with names that help me to associate them with
> Chapter 2.5 of my book:
>
> Data Chapter 2.5
> Session Chapter 2.5
> Script Chapter 2.5
>
> I all the examples above Gretl creates the respective file with the
> extension ".5", instead of ".gdt", ".gretl", and ".inp", respectively.
Gretl's behavior has been that if the user has specified what
looks like a filename extension on saving a file, the program
doesn't append a further extension. So, to save a file with a name
such as "foo-2.5.gdt" you'd have to type the full name, including
the ".gdt" part.
However, plain numbers are arguably not proper "extensions" -- or
at least, not when saving standard gretl file types. I've now
modified things in CVS and the snapshots: in case a file type has
a canonical extension, we'll always append it unless the user has
already done so.
Allin
14 years, 2 months
Help on simultaneousus equation model
by Lemma Tenessa
Dear Professor Cottrell* *;
Thanks so much for your kind and informative response on my question
entitled *“**Help on simultaneousus equation model”***
In this regard I have got sufficent answers on the questions I asked you.
Nevertheless, I still want your suggestions on predicted probabilities and
their application to reduced form equations and if there is that sort of
application in GRETL.
I understand now GRETL does not predict probabilities rather give us fitted
or residual values after we estimate an ordered probit model and ask the
program to generated predicted values.
Now my question is can I use this predicted value in my second stage ordered
probit regression or are these fitted value equivalent to *P^ and D^ given
original endogenous ordered variables *P* and D*?
I really thank you for any assistance which you might be able to provide.
With kind regards,
Tenessa L.
PhD Student
Haremaya University, Ethiopia
14 years, 2 months
Re: [Gretl-users] Help on simultaneous equation model
by Allin Cottrell
On Sun, 6 Mar 2011, Lemma Tenessa wrote:
> I am trying to run a simultaneous equation model which is modeled as;
>
> P*=D*+1X1+1
> D*= zP*+ 2X2+2
>
> Where each of the above two equations are ordered probit
> equations and P* and D* defined as, poverty and natural
> resources degradation are ordered latent endogenous variables
> which will have ordinal values between 1-4. [...]
>
> Of course I am trying to fit the model in this way;
> Given the original simultaneous equation,
>
> P*=D*+1X1+1
> D*= P*+ 2X2+2
>
> I will first regress each equation via ordered probit by GERTL
> software and have predicted probabilities for P* and D* i.e P^
> and D^
Is your plan to use X2 as an instrument in the first-stage
equation for P*, and X1 as an instrument for D*? If not, then
you'll have to find at least one additional instrument for each of
P* and D*, just as in two-stage least squares.
> Next stage I will undertake ordered probit regression by
> replacing D* and P* in the right side by P^ and D^ that is
>
> P*=bD^+a1X1+e1
> D*= cP^+ a2X2+e2
>
> Finally interpret the output brought by the last regression(2nd
> stage)
>
> Now I want to be confident on two things
> 1) if the above way I propose is the right one
Given two or more suitable instruments, this sounds OK. But I'm
not sure offhand how to get a consistent estimate of the
covariance matrix for the second-stage ordered probit. Hopefully,
someone who knows more about this than I may step in.
> 2) If the the GERTL simultaneous equation technique can solve
> this
No, the "system" command for simultaneous equations expects a set
of linear equations.
Allin Cottrell
14 years, 2 months
Odd Behavior with Saving Data, Sessions, and Scripts
by Henrique Andrade
Dear Gretl Community,
When I try to save data (or session, or script) files with dots in the
names, using the GUI, Gretl assumes that all the comes after that point is
an extension name. Suppose I have to create three files with names that help
me to associate them with Chapter 2.5 of my book:
Data Chapter 2.5
Session Chapter 2.5
Script Chapter 2.5
I all the examples above Gretl creates the respective file with the
extension ".5", instead of ".gdt", ".gretl", and ".inp", respectively.
Is this the intended behavior?
Um abraço,
--
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
14 years, 2 months
Help on simultaneous equation model
by Lemma Tenessa
Dear All ,
I am trying to run a simultaneous equation model which is modeled as;
P*=D*+1X1+1
D*= zP*+ 2X2+2
Where each of the above two equations are ordered probit equations and P*
and D* defined as, poverty and natural resources degradation are ordered
latent endogenous variables which will have ordinal values between 1-4. The
reason the model is formulated in this manner is because the objective of my
study is to determine if the existence of each of these endogenous variables
have cause and effect relationship, like the existence of poverty causes
resources degradation and vice versa. More over endogneity is also expected
from reviewed literature and it should be treated in a model like this.
By the time I start to work with this model with my collected cross section
data , I am confused on applying 2-stage least square technique for ordered
probit models
Of course I am trying to fit the model in this way;
Given the original simultaneous equation,
P*=D*+1X1+1
D*= P*+ 2X2+2
I will first regress each equation via ordered probit by GERTL software and
have predicted probabilities for P* and D* i.e P^ and D^
Next stage I will undertake ordered probit regression by replacing D* and P*
in the right side by P^ and D^ that is
P*=bD^+a1X1+e1
D*= cP^+ a2X2+e2
Finally interpret the output brought by the last regression(2nd stage)
Now I want to be confident on two things
1) if the above way I propose is the right one
2) If the the GERTL simultaneous equation technique can solve this
I really thank you for any assistance which you might be able to provide.
With kind regards,
Tenessa L.
PhD Student
Haremaya University, Ethiopia
14 years, 2 months
