Loop for differencing non-stationary time series
by Marcin Pietrzak
Hi,
I want to write a loop which will test a time series for non-stationary and
if it do not pass ADF test the loop will automatically produce first
differences.
loop foreach i xlist
adf 40 xlist.$i --test-down
genr p.$i = $pvalue
if p.$i > 0,05
genr d_xlist.$i = diff(xlist.$i)
endloop
Gretl has some problems with if, it shows that it is not correct. Do
anybody have any idea?
Marcin Pietrzak
12 years, 4 months
Re: [Gretl-users] Gretl-users Digest, Vol 69, Issue 18
by 佃鹏 于
>Dear Allin,
Thank you for your reply. I changed my data structure and run the vector Autoregression to know the Granger Causality of variables, when I input the endogenous variables. it comes up with " insufficient degrees of freedom for regression" what's the problem here?
Thanks Dianpeng
> From: gretl-users-request(a)lists.wfu.edu
> Subject: Gretl-users Digest, Vol 69, Issue 18
> To: gretl-users(a)lists.wfu.edu
> Date: Thu, 18 Oct 2012 09:07:15 -0400
>
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> Today's Topics:
>
> 1. Re: forecasting with exponential smoothing (Pedro Ba??o)
> 2. Granger Causality test in Gretl (?? ?)
> 3. Re: Granger Causality test in Gretl (H?lio Guilherme)
> 4. Re: Granger Causality test in Gretl (Allin Cottrell)
> 5. Gamma distribution in gretl? (mariusz doszy?)
> 6. Gretl on Mac OS X 10.8.2 (Luc Hens)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Wed, 17 Oct 2012 17:22:40 +0100
> From: Pedro Ba??o <pmab(a)fe.uc.pt>
> Subject: Re: [Gretl-users] forecasting with exponential smoothing
> To: walt(a)dataanalyticscorp.com, Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID:
> <CAMwCGMeAUXnL+vjR4mhfEwp5n0h41=MvypSJRbw8r1zF82FSSA(a)mail.gmail.com>
> Content-Type: text/plain; charset="iso-8859-1"
>
> perhaps this will do it:
>
> smpl 1 20
> series x=movavg(y,0.5) # change the parameter 0.5
> smpl 21 25
> series f=x[20]
> matrix f_stats=fcstats(y,f)
> f_stats
> smpl full
>
> where y is the series to forecast, f has the forecasts, x is the smoothed
> series and f_stats is the matrix with the forecast statistics. You can then
> plot y and f. For a moving average, set the parameter 0.5 to an integer>1.
>
> On 15 October 2012 12:04, Data Analytics Corp.
> <walt(a)dataanalyticscorp.com>wrote:
>
> > Hi,
> >
> > I'd like to illustrate for students forecasting for just a few
> > steps-ahead with simple exponential smoothing. The filter option allows
> > for exponential smoothing (the movavg function does the same) but I
> > can't get a forecast with a forecast graph and forecast errors similar
> > to what I get with, say, the AR option in modeling. In particular, if I
> > have 25 observations, I'd like to set the sample size to the first 20,
> > do the smoothing, forecast the next 5, graph all 25 along with the 5
> > forecasted values, and calculate error statistics for the 5 forecasted
> > values using the 5 hold-out values. How can I do this? Is there a
> > script that would accomplish what I want? I'd like to also do the same
> > for a simple moving average.
> >
> > Thanks,
> >
> > Walt
> >
> > ________________________
> >
> > Walter R. Paczkowski, Ph.D.
> > Data Analytics Corp.
> > 44 Hamilton Lane
> > Plainsboro, NJ 08536
> > ________________________
> > (V) 609-936-8999
> > (F) 609-936-3733
> > walt(a)dataanalyticscorp.com
> > www.dataanalyticscorp.com
> > _____________________________________________________
> > _______________________________________________
> > Gretl-users mailing list
> > Gretl-users(a)lists.wfu.edu
> > http://lists.wfu.edu/mailman/listinfo/gretl-users
> >
> >
> >
> >
> >
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> ------------------------------
>
> Message: 2
> Date: Wed, 17 Oct 2012 21:52:16 +0000
> From: ?? ? <dianpenginuk(a)live.cn>
> Subject: [Gretl-users] Granger Causality test in Gretl
> To: <gretl-users(a)lists.wfu.edu>
> Message-ID: <BAY170-W25C4C656BBC69EC5CB8F3FC8770(a)phx.gbl>
> Content-Type: text/plain; charset="gb2312"
>
>
> To whom it may concern,
>
> Sorry to bother you. I am a student from University of Glasgow UK. For my dissertation purpose I need to run Granger Causality tests using Gretl. I am using panel data, "time series" function didn't work? Would you mind giving me some advice on the following questions:
> Is the Granger Causality test for autoregression?
> How to run Granger Causality in Gretl using panel data? Do I need to change my data structure to time series in order to finish the Granger causality test of variables.
> Thank you for your time
> Best regardsDianpeng
>
>
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>
> ------------------------------
>
> Message: 3
> Date: Thu, 18 Oct 2012 00:05:01 +0100
> From: H?lio Guilherme <helioxentric(a)gmail.com>
> Subject: Re: [Gretl-users] Granger Causality test in Gretl
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID:
> <CABNCgGSAaRJhAchtYA5dnu_s0usm7qj+ygDJsFJdS78exDT3iQ(a)mail.gmail.com>
> Content-Type: text/plain; charset=UTF-8
>
> Hi,
>
> I did a simple query in Google and found an explanation for the
> Granger-causality test at
> http://en.wikipedia.org/wiki/Granger_causality
>
> It does seems to be applicable only to time-series.
>
> I recommend to get better references on that matter.
>
> What does the excelent Gretl documentation (Reference or Guide) say about it?
>
> Good luck.
>
> On Wed, Oct 17, 2012 at 10:52 PM, ?? ? <dianpenginuk(a)live.cn> wrote:
> > To whom it may concern,
> >
> > Sorry to bother you. I am a student from University of Glasgow UK. For my
> > dissertation purpose I need to run Granger Causality tests using Gretl. I
> > am using panel data, "time series" function didn't work? Would you mind
> > giving me some advice on the following questions:
> >
> > Is the Granger Causality test for autoregression?
> >
> > How to run Granger Causality in Gretl using panel data? Do I need to change
> > my data structure to time series in order to finish the Granger causality
> > test of variables.
> >
> > Thank you for your time
> >
> > Best regards
> > Dianpeng
> >
> >
> >
> > _______________________________________________
> > Gretl-users mailing list
> > Gretl-users(a)lists.wfu.edu
> > http://lists.wfu.edu/mailman/listinfo/gretl-users
>
>
>
> ------------------------------
>
> Message: 4
> Date: Wed, 17 Oct 2012 20:02:50 -0400 (EDT)
> From: Allin Cottrell <cottrell(a)wfu.edu>
> Subject: Re: [Gretl-users] Granger Causality test in Gretl
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID: <alpine.LFD.2.01.1210171952360.1488@myrtle>
> Content-Type: text/plain; charset="gb2312"
>
> On Wed, 17 Oct 2012, ?? ? wrote:
>
> > Sorry to bother you. I am a student from University of Glasgow UK.
> > For my dissertation purpose I need to run Granger Causality tests
> > using Gretl. I am using panel data, "time series" function didn't
> > work? Would you mind giving me some advice on the following
> > questions:
>
> > Is the Granger Causality test for autoregression?
>
> The Granger test is not "for" autoregression, but it is conducted in
> the framework of a vector autoregression (VAR).
>
> > How to run Granger Causality in Gretl using panel data? Do I need
> > to change my data structure to time series in order to finish the
> > Granger causality test of variables.
>
> The theory of Granger causality is well developed for the time
> series case. For panel data it is more complicated; for one thing
> you'd have to decide if the causality result is supposed to be in
> common ("homogeneous") across your panel units, or not. If you
> google "Granger causality panel data" you'll find discussions of
> this.
>
> In gretl, Granger causality tests are provided among the results
> when estimating a VAR, but the "var" command is not available for
> panel data, only time series. I think this is true of most
> econometric software. Gretl scripting has the flexibility to allow
> you to construct a related test for panel data, if you can figure
> out exactly what it is you want to test.
>
> Allin Cottrell
>
> ------------------------------
>
> Message: 5
> Date: Thu, 18 Oct 2012 10:35:20 +0200
> From: mariusz doszy? <madosz(a)wp.pl>
> Subject: [Gretl-users] Gamma distribution in gretl?
> To: "gretl-users" <gretl-users(a)lists.wfu.edu>
> Message-ID: <507fbf48de9c76.68846749(a)wp.pl>
> Content-Type: text/plain; charset="us-ascii"
>
> An HTML attachment was scrubbed...
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>
> ------------------------------
>
> Message: 6
> Date: Thu, 18 Oct 2012 14:58:17 +0200
> From: Luc Hens <luc.hens.econ(a)vub.ac.be>
> Subject: [Gretl-users] Gretl on Mac OS X 10.8.2
> To: gretl-users(a)lists.wfu.edu
> Message-ID: <8C8B3547-A0CF-46D5-8D7D-99E4946B73B2(a)vub.ac.be>
> Content-Type: text/plain; charset="windows-1252"
>
> I installed Gretl on a MacBook Pro running OS X 10.8.2. When I leave Gretl in the disk image, it runs fine. However, when I move Gretl to the Applications folder it appears greyed out (and with a no-go trafiic sign across the icon) and won't run. Does anyone know what is going on and how to fix this?
>
> L u c H e n s
> -------------------------------------------------------
> Vrije Universiteit Brussel & Vesalius College
> Pleinlaan 2 ? Room C2.146 ? B-1050 Brussels ? Belgium
> office hours: Wednesdays 13:00-16:00, Karel Van Miert building (Pleinlaan 5), mezzanine
> e-mail: luc.hens.econ(a)vub.ac.be
> home page: http://homepages.vub.ac.be/~lmahens/
> Vesalius College: www.vesalius.edu
> Vrije Universiteit Brussel: http://www.vub.ac.be/
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
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> http://lists.wfu.edu/mailman/listinfo/gretl-users
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> End of Gretl-users Digest, Vol 69, Issue 18
> *******************************************
12 years, 4 months
Gretl on Mac OS X 10.8.2
by Luc Hens
I installed Gretl on a MacBook Pro running OS X 10.8.2. When I leave Gretl in the disk image, it runs fine. However, when I move Gretl to the Applications folder it appears greyed out (and with a no-go trafiic sign across the icon) and won't run. Does anyone know what is going on and how to fix this?
L u c H e n s
-------------------------------------------------------
Vrije Universiteit Brussel & Vesalius College
Pleinlaan 2 • Room C2.146 • B-1050 Brussels • Belgium
office hours: Wednesdays 13:00-16:00, Karel Van Miert building (Pleinlaan 5), mezzanine
e-mail: luc.hens.econ(a)vub.ac.be
home page: http://homepages.vub.ac.be/~lmahens/
Vesalius College: www.vesalius.edu
Vrije Universiteit Brussel: http://www.vub.ac.be/
12 years, 4 months
Granger Causality test in Gretl
by 佃鹏 于
To whom it may concern,
Sorry to bother you. I am a student from University of Glasgow UK. For my dissertation purpose I need to run Granger Causality tests using Gretl. I am using panel data, "time series" function didn't work? Would you mind giving me some advice on the following questions:
Is the Granger Causality test for autoregression?
How to run Granger Causality in Gretl using panel data? Do I need to change my data structure to time series in order to finish the Granger causality test of variables.
Thank you for your time
Best regardsDianpeng
12 years, 4 months
forecasting with exponential smoothing
by Data Analytics Corp.
Hi,
I'd like to illustrate for students forecasting for just a few
steps-ahead with simple exponential smoothing. The filter option allows
for exponential smoothing (the movavg function does the same) but I
can't get a forecast with a forecast graph and forecast errors similar
to what I get with, say, the AR option in modeling. In particular, if I
have 25 observations, I'd like to set the sample size to the first 20,
do the smoothing, forecast the next 5, graph all 25 along with the 5
forecasted values, and calculate error statistics for the 5 forecasted
values using the 5 hold-out values. How can I do this? Is there a
script that would accomplish what I want? I'd like to also do the same
for a simple moving average.
Thanks,
Walt
________________________
Walter R. Paczkowski, Ph.D.
Data Analytics Corp.
44 Hamilton Lane
Plainsboro, NJ 08536
________________________
(V) 609-936-8999
(F) 609-936-3733
walt(a)dataanalyticscorp.com
www.dataanalyticscorp.com
_____________________________________________________
12 years, 4 months
Differencing loop
by Marcin Pietrzak
Hi everyone,
I am writing to you in order to find some help concerning construction of
the loop. My aim is to build a loop which automatically create a first
differences of each time serie if it does not pass the ADF test. You can
find below my script but there is something wrong with it because it shows
a problem with commaf 'if'.
loop foreach i xlist
adf 30 xlist.$i --test-down
genr p$i = $pvalue
if p$i < 0,05
genr d_i = diff(xlist.$i)
endloop
Do you have any ideas what should be changed?
12 years, 4 months
