SUR systems
by Javier García
Hi, again:
Thanks, Sven, your suggestion works perfectly!!!
But I have another question about the methodology that is used. I have been
looking at Gretl Users Guide, but I dont find anything about SUR systems.
Id rather know what technique uses Gretl to estimate SUR systems. Maximum
Likelihood? Feasible Generalized Least Squares? When in the menu we select
iterative process (or something like that), does it mean that it uses time
and again FGLS until the convergence is obtained? If this is the case, what
matrix uses as covariance matrix, one of Whites type?
Thanks a lot
Javi
10 years
SUR systems
by Javier García
Hello everybody:
I am trying to estimate a SUR system with some restrictions in the parameters by means of the menu that Gretl has. I am able to introduce the different equations properly, but although I write the restrictions in the screen the results I obtain don't take these restrictions into account. The code I introduce is something like:
equation x1 0 x2 x3 x4 x5
equation x6 0
equation x7 0
restrict b[1,2]=b[2,1]
Thanks in advance
Cheers
Javi
10 years
Rolling parameter estimate
by Oscar Soppelsa
Hi all.
Firstable I want to express my pleasure for such a software like gretl,
which is very useful in econometric applications. I'm looking for a way to
estimate time series' models parameters in a rolling window: is there any
function in gretl which allows me to do this? Actually it's possible just to
estimate, for example, ARMA(p,q) coefficients on a static sample, not on a
rolling sample.
Will this function be introduced in the next release? If not so, I want to
suggest this feature to your attention :-)
Thank you very much, bye!
==============================
DISCLAIMER:
This e-mail is for the sole use of the intended recipient and any file transmitted with it may contain material that is confidential and privileged. If you are not the intended recipient of this e-mail, please do not read this e-mail and delete this message and any file attached from your system and then notify us immediately by reply e-mail or by telephone. You should not copy or use this message and any file attached for any purpose, disclose the contents of the same to any other person or forward them without express permission by us. Considering the means of transmission, we do not undertake any liability with respect to the secrecy and confidentiality of the information contained in this e-mail and in its attachments.
Il presente messaggio di posta elettronica e' ad esclusivo utilizzo del destinatario indicato in indirizzo e gli eventuali documenti allegati potrebbero avere carattere riservato. Qualora non foste il destinatario del presente messaggio Vi preghiamo non leggerlo, di cancellarlo dal Vostro sistema assieme ad ogni documento ad esso allegato e di volerci avvertire immediatamente tramite posta elettronica o telefonicamente. E' vietata la duplicazione o l'utilizzo per qualunque fine del presente messaggio e di ogni documento ad esso allegato cosi' come la relativa divulgazione, distribuzione o inoltro a terzi senza l'espressa autorizzazione del mittente. Il mittente, in ragione del mezzo di trasmissione utilizzato, non assume alcuna responsabilita' in merito alla segretezza e riservatezza delle informazioni contenute nel presente messaggio e nei relativi allegati.
==============================
10 years
Re: [Gretl-users] Corrected Johansen statistics?
by Allin Cottrell
On Tue, 24 May 2011, Olle Olsson wrote:
> Can anyone give me a reference for how the Johansen trace test statistics
> are "Corrected for sample size"?
J. Doornik, "Approximations to the Asymptotic Distributions of
Cointegration Tests", Journal of Economic Surveys, 12/5, 1998, pp.
573-593.
Allin Cottrell
P.S. please don't dump the gretl-users digest into a message to
the list.
10 years
Corrected Johansen statistics?
by Olle Olsson
Hi!
Can anyone give me a reference for how the Johansen trace test statistics
are "Corrected for sample size"?
Best regards
/Olle
On Mon, May 23, 2011 at 6:00 PM, <gretl-users-request(a)lists.wfu.edu> wrote:
> 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. Q statistic for ARIMA (Sam Sam)
> 2. Re: Q statistic for ARIMA (Ignacio Diaz-Emparanza)
> 3. degree of freedom of Ljung-Box Q (Sam Sam)
> 4. Re: degree of freedom of Ljung-Box Q (John C Frain)
> 5. degree of freedom of Ljung-Box (Sam Sam)
> 6. Re: degree of freedom of Ljung-Box (Allin Cottrell)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Mon, 23 May 2011 00:14:58 +0800
> From: Sam Sam <dear.sam(a)livemail.tw>
> Subject: [Gretl-users] Q statistic for ARIMA
> To: <gretl-users(a)lists.wfu.edu>
> Message-ID: <SNT141-w2245F37074CC9A172B31168B730(a)phx.gbl>
> Content-Type: text/plain; charset="big5"
>
>
> Dear all:
>
> Does it provide Box-Pierce Q statistic to test if residual is
> autocorrelation for ARIMA in gretl ?
>
> Thanks a lot
> -------------- next part --------------
> An HTML attachment was scrubbed...
> URL:
> http://lists.wfu.edu/pipermail/gretl-users/attachments/20110523/99844e65/...
>
> ------------------------------
>
> Message: 2
> Date: Mon, 23 May 2011 10:33:34 +0200
> From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es>
> Subject: Re: [Gretl-users] Q statistic for ARIMA
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID: <4DDA1BDE.4060307(a)ehu.es>
> Content-Type: text/plain; charset=UTF-8; format=flowed
>
> El 22/05/11 18:14, Sam Sam escribi?:
> > Dear all:
> >
> > Does it provide Box-Pierce Q statistic to test if residual is
> > autocorrelation for ARIMA in gretl ?
> >
> > Thanks a lot
>
> Gretl provides the Ljung-Box statistic, wich is a refinement of
> Box-Pierce Q with better small sample properties. You may see it in the
> arima model window, clicking on /Graphs/Residual correlogram (Q_stat).
>
>
> --
> Ignacio Diaz-Emparanza
> DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA)
> UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
> T.: +34 946013732 | F.: +34 946013754
> www.ea3.ehu.es
>
>
>
>
>
>
> ------------------------------
>
> Message: 3
> Date: Mon, 23 May 2011 17:45:17 +0800
> From: Sam Sam <dear.sam(a)livemail.tw>
> Subject: [Gretl-users] degree of freedom of Ljung-Box Q
> To: <gretl-users(a)lists.wfu.edu>
> Message-ID: <SNT141-w36BD113119FCFA5B6A86C58B720(a)phx.gbl>
> Content-Type: text/plain; charset="big5"
>
>
> Dear all:
>
> I am confused about that degree of freedom is the number of lag or the
> nuber of lag minus the number of parameter estimated
> (When using Ljung-Box Q stat. to test if the residuals of ARIMA is
> autocorrelated.)
> It seems that degree of freedom of the nuber of lag minus the number of
> parameter estimated used in many study.
>
> Thanks a lot
> -------------- next part --------------
> An HTML attachment was scrubbed...
> URL:
> http://lists.wfu.edu/pipermail/gretl-users/attachments/20110523/e6e474ad/...
>
> ------------------------------
>
> Message: 4
> Date: Mon, 23 May 2011 13:08:52 +0100
> From: John C Frain <frainj(a)gmail.com>
> Subject: Re: [Gretl-users] degree of freedom of Ljung-Box Q
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID: <BANLkTimq_EOi60dUpe8OUd5HKuA1NBzfEg(a)mail.gmail.com>
> Content-Type: text/plain; charset=ISO-8859-1
>
> The degrees of freedom of the asymptotic distribution of the
> Ljung-Box test statistic is the number of auto correlations included
> minus the number of parameters estimates. You will find an
> explanation in any good time series test (e.g. Brockwell and Davis
> (2006), Shumway and Stoffer (2006 2011(?)), Tsay (2010) ). Remember
> this result is only asymptotic and therefore is only approximate.
> Some software packages therefore do not include the adjustment to the
> degrees of freedom. There are no universally accepted rules as to
> the number of lags that should be included in the autocorrelation
> function.
>
> Best Regards
>
> John
>
> 2011/5/23 Sam Sam <dear.sam(a)livemail.tw>:
> > Dear all:
> >
> > I am confused about that degree of freedom is the number of lag or the
> nuber
> > of lag minus the number of parameter estimated
> > (When using Ljung-Box Q stat. to test if the residuals of ARIMA is
> > autocorrelated.)
> > It seems that? degree of freedom of the nuber of lag minus the number of
> > parameter estimated used in many study.
> >
> > Thanks a lot
> >
> > _______________________________________________
> > Gretl-users mailing list
> > Gretl-users(a)lists.wfu.edu
> > http://lists.wfu.edu/mailman/listinfo/gretl-users
> >
>
>
>
> --
> 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
>
>
>
> ------------------------------
>
> Message: 5
> Date: Mon, 23 May 2011 21:12:40 +0800
> From: Sam Sam <dear.sam(a)livemail.tw>
> Subject: [Gretl-users] degree of freedom of Ljung-Box
> To: <gretl-users(a)lists.wfu.edu>
> Message-ID: <SNT141-w14930C79ED67B1161075878B720(a)phx.gbl>
> Content-Type: text/plain; charset="big5"
>
>
> Thanks a lot.
>
> When testing if the residuals of ARIMA is autocorrelated,
> degree of freedom of Ljung-Box Q stat. is just the number of lag, or the
> number of lag minus the number of parameter in gretl?
> -------------- next part --------------
> An HTML attachment was scrubbed...
> URL:
> http://lists.wfu.edu/pipermail/gretl-users/attachments/20110523/94d7bb70/...
>
> ------------------------------
>
> Message: 6
> Date: Mon, 23 May 2011 10:47:09 -0400 (EDT)
> From: Allin Cottrell <cottrell(a)wfu.edu>
> Subject: Re: [Gretl-users] degree of freedom of Ljung-Box
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID: <Pine.A41.4.58.1105231046180.647616(a)f1n11.sp2net.wfu.edu>
> Content-Type: TEXT/PLAIN; charset=US-ASCII
>
> On Mon, 23 May 2011, Sam Sam wrote:
>
> > When testing if the residuals of ARIMA is autocorrelated, degree
> > of freedom of Ljung-Box Q stat. is just the number of lag, or
> > the number of lag minus the number of parameter in gretl?
>
> The number of lags
> http://en.wikipedia.org/wiki/Ljung%E2%80%93Box_test
>
> Allin Cottrell
>
>
>
> ------------------------------
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
> End of Gretl-users Digest, Vol 52, Issue 24
> *******************************************
>
10 years
Creating lists with many variables
by amaryl
Dear all,
I would like to create lists of about 100 time series included in my
dataset. I therefore want to specify the range of variable IDs to be
included in the list.
However, when I try
list xlist=140:240
I get an error, because ":" is invalid in this context.
I would like to avoid typing all the variable IDs every time I
create a new list. Is there some elegant way to do this?
Thanks in advance!
10 years
Re: [Gretl-users] gretl error: Error retrieving data from server
by Allin Cottrell
On Sat, 21 May 2011, Allin Cottrell wrote:
> On Sat, 21 May 2011, Artur Tarassow wrote:
>
> > Since a week I am not able to retrieve functions from the server. The
> > error message which I obtain is:
> >
> > "Error retrieving data from server"
>
> There appears to be a problem with the server. I'm not in a
> position to fix it quickly but I'll see what I can do.
The server should now be OK, I think.
Allin Cottrell
10 years
degree of freedom of Ljung-Box
by Sam Sam
Thanks a lot.
When testing if the residuals of ARIMA is autocorrelated,
degree of freedom of Ljung-Box Q stat. is just the number of lag, or the number of lag minus the number of parameter in gretl?
10 years, 1 month
degree of freedom of Ljung-Box Q
by Sam Sam
Dear all:
I am confused about that degree of freedom is the number of lag or the nuber of lag minus the number of parameter estimated
(When using Ljung-Box Q stat. to test if the residuals of ARIMA is autocorrelated.)
It seems that degree of freedom of the nuber of lag minus the number of parameter estimated used in many study.
Thanks a lot
10 years, 1 month
