AIC and BIC
by Sam Sam
Dear all:
If I use the monthly data from 1980M1 to 1990M12(the number of samples is 132)，and there are there ARIMA model: ARIMA(1,1,1), ARIMA(2,1,0), and ARIMA(1,1,0)(1,1,0)12. Can I choose the model by AIC or BIC from these three models when the number of using observations different?
When estimating the model,
The using observations of ARIMA(1,1,1) : 1980M3 to 1990M12. (number:130)
The using observations of ARIMA(2,1,0):1980M4 to 1990M12. (number:129)
The using observations of ARIMA(1,1,0)(1,1,0)12:1983M3 to 1990M12. (number:106)
Can I compare AIC of these three models when the number of using observations are different ?
How should I choose the model by AIC? Is the basis of comparison different?
13 years, 8 months
gretl via c#
by Andrew Postarnakov
Hi,
I'd like to use gretl in my project to perform cointegration tests. All the
code that I have is written in C#. I've tried to google if anybody already
done such integration, but unfortunately with no luck. Does anybody have
successfull experience working with gretl from within C#?
Regards,
Andrey
13 years, 8 months
Bug with session, matrices and preserve option?
by Giuseppe Vittucci
Dears,
I am using gretl 1.9.5 running on Ubuntu 10.10.
Here is the problem. It is probably a bug. I don't know.
1) I open a dataset, manipulate it and create some matrices;
2) I open another dataset and with the option --preserve I manage to
maintain the matrices created during the session. And indeed I can see
the old matrices with the new dataset.
3) I save the session and close the program;
4) When I reopen the saved session, in the icon window there is now none
of the matrices I have created before, nor they can be called via the
command line.
It is strange cause the file size is actually bigger than before and
indeed if I open the .gretl archive with an archive manager, I can see
the data stored in the matrices in the xml file that is supposed to
contain them.
However, they disappear when I save the reopened session...
Any suggestion?
Giuseppe Vittucci
13 years, 8 months
qlrtest, critical values
by amaryl
Dear all,
I'm running a qlrtest for a structural break in a simpel OLS-regression
with a constant and two dependend variables. gretl gives me a
break-date, significant at the one-percent-level, the critical value of
which is given as 6.02. gretl gives as source of those critical values
Stock and Watson (2003): Introduction in Econometrics.
I take it, those asymptotic critical values for a qlr test were
originally calculated by Andrews (1993) and corrected also by Andrews
(2003). I just checked with the Andrews (2003) paper and if I read that
table correctly, the critical value of a qlr test with 15% trimming and
3 degrees of freedom is 18.07.
I randomly ran a few other regressions, and the other critical values
don't seem to square either.
Am I missing something here, or did there go something wrong with the
transfer of those values into gretl?
Best,
Britta
13 years, 8 months
MLE with endogenouly determined moving average
by Johann Jaeckel
Hello.
It's my first time posting on this list. I hope the issue I am having is
appropriate for this forum. Any help is greatly appreciated.
I want to estimate a simple model with one independent variable using
MLE with a twist.
The twist is the following, the effect of the independent variable (X)
is split into a short run (SR) and a long run (LR) coefficient. My model
thus looks like this:
Y = a + b1*X_LR + e_LR + b2*X_SR + e_SR
where e_LR and e_SR are i.i.d. disturbances. X_LR is a centered moving
average of the independent variable and X_SR is the deviation of the
actual series from its moving average.
The length of the moving average should be determined endogenously, i.e.
in such a way that the likelihood function is maximized.
Now, I am capable of running a basic MLE in Gretl by specifying the
log-likelihood function and the derivatives. However, I am having
troubles with creating the short run and the long run series and in
particular with the endogenous determination of the length of the moving
average.
I have a hunch that I need to iterate the MLE command itself, but I have
no clue how to implement this in a script.
Regards.
--
Johann
13 years, 8 months
(no subject)
by cox m. (mc12v07)
Hi,
I am trying to perform a constrained linear regression in gretl for which the beta coefficients are all non-negative and sum to unity. Is there anyway that I can do this?
Kind Regards
Matt
13 years, 8 months
bugs in gretl 1.9.5cvs
by Paolo Chirico
I have detect the following bugs in bugs in Gretl 1.9.5cvs:
1) with some data (for example attached data), the ADF test doesn't
allow the option "quadratic trend", but includes it in the other options.
2) If I select an AR model with specific lag and conditional ML, I can't
remove the AR selections in the other ARMA model in the session.
Is there a way to bypass these problems?
Paolo
P.S. the second problem didn't exist in Gretl 1.9.1
--
Paolo Chirico
Assistant Professor
of Economic Statistics
University of Turin
Via Maria Vittoria, 38
10123 Torino (Italy)
13 years, 8 months
Help with GIG package
by cociuba
Deal Gretl Community,
I am trying to replicate the examples in Principles of
Econometrics,pg.373, BYD example, using Garch in Gretl (GIG). I was able
to reproduce those result with Lee Adkins scripts but I cant do the same
using GIG.
My questions are:
- what I'm suppose to put in mean and variance regressors list to obtain
the following models:
TGARCG(1,1) and Garch in Mean.
- are there any other manual or examples using GIG gui beside those
found on Ricardo Lucchetti's home page.
Thank you for your help.
Mihai Cociuba, PhD Student, Babes-Bolyai University.
On 03/07/2011 07:00 PM, gretl-users-request(a)lists.wfu.edu wrote:
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> than "Re: Contents of Gretl-users digest..."
>
>
> Today's Topics:
>
> 1. Odd Behavior with Saving Data, Sessions, and Scripts
> (Henrique Andrade)
> 2. Re: Help on simultaneo?us equation model (Allin Cottrell)
> 3. Help on simultaneous?us equation model (Lemma Tenessa)
> 4. Re: Odd Behavior with Saving Data, Sessions, and Scripts
> (Allin Cottrell)
> 5. Re: Help on simultaneous?us equation model (Allin Cottrell)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 6 Mar 2011 23:37:53 -0300
> From: Henrique Andrade<henrique.coelho(a)gmail.com>
> Subject: [Gretl-users] Odd Behavior with Saving Data, Sessions, and
> Scripts
> To: "Gretl Discussion List (users)"<gretl-users(a)lists.wfu.edu>
> Message-ID:
> <AANLkTi=1gy01iMrkbBb7=+YMr-Hih5=SQFi7aPk0ZA9J(a)mail.gmail.com>
> Content-Type: text/plain; charset="iso-8859-1"
>
> 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 abra?o,
13 years, 8 months
smpl in a function
by Summers, Peter
Hi all,
I'm writing a script to implement the cointegration-with-break tests in Davidson & Monticini (2010). The part I've done so far is what they call the "incremental" version. Basically test for CI over subsamples, with the ending date increasing by one each time.
The following block works fine in my main script:
<hansl>
# forward incremental
begdate = firstobs(y)
enddate = t0
loop while enddate<=n --quiet
smpl begdate enddate
ols y 0 time x --quiet
z = $uhat
coeffs[enddate,] = $coeff'
stderrs[enddate,] = $stderr'
adf 2 z --ct --test-down --quiet
stats[enddate] = $test
enddate++
endloop
</hansl>
But when I try to put this in a function, the smpl command generates an error:
Bad character 'b' in date string
error in new starting obs
*** error in function minmin
> smpl begdate enddate
The variables 'begdate' & 'enddate' are getting set properly. I'm using the shapshot built on 7/7, windows 7.
Any thoughts?
TIA,
PS
13 years, 8 months
cvs link broken?
by Johannes Lips
Hello,
I just wanted to check out the current cvs version of gretl to check if
I need to apply changes to the package in fedora.
The problem is that I couldn't check out the sources with an older command:
cvs -z3 -d:pserver:anonymous@gretl.cvs.sourceforge.net:/cvsroot/gretl co
-P gretl
I also couldn't browse the code on
http://gretl.cvs.sourceforge.net/gretl/gretl as advertised on the webpage.
Were there some major changes to the naming or organisation of the
repository.
Would be great if you could help me.
Thanks in Advance
Johannes
13 years, 8 months
