accessors for coint2 cointegration test or vecm command?
by Trevor Zink
This is my first post to this list. Thanks for reading.
I am interested in doing repeated simulations with the either the coint2 or
vecm command to create a distribution of, say, the beta cointegrating
vectors in order to compare them to a theoretical value. In order to do this
several thousand times I obviously need a way to access the values that
coint2 or vecm outputs and save them into a matrix or series, but I can't
seem to find any $accessors to pull this information out. $uhat following
coint2 produces a matrix of residuals, but that's not quite what I'm after.
I'd really like the beta, alpha, renormalized beta, renormalized alpha, and
the long-run matrix.
Any help would be greatly appreciated.
13 years, 10 months
Multinomial Logit
by Simon Grenville-Wood
Hi,
I'm having a few issues with a MNL model. I would like to be able to
manually set the benchmark category.
In this instance, I have 7 categories for the dependent variable. Gretl
automatically assigns baseline = 1, whereas I would like to set it as
baseline = 5 as category 1 only has a minimal number of observations. Are
there any ideas on how to deal with this? Thanks,
Simon
13 years, 10 months
weird st. louis fed data in the gretl database
by Artur Tarassow
Hello all,
I just tried to download some data from the st. loius fed database using
gretl's (fedstl). It seems that their is a problem with various gdp
components. See an example attached.
Actually, how are these data retrieved from the FRED database?
Best,
Artur
13 years, 10 months
Creating cointegrated series
by Talha Yalta
Hi all,
I have a few questions/issues to report with a cointegration example
that I am trying to simulate using:
nulldata 500
setobs 1 1950 --time-series
series u1 = randgen(N,0,1)
series u2 = randgen(N,0,1)
series Z1 = 0
series Z1 = Z1(-1) + u1
series Z2 = 75 + 0.75*Z1 + u2
1)- When I run a VECM model afterwards, I always have one of the
inverse roots on the edge. Am I doing something wrong?
2)- Is there a better way of creating cointegrated series where I can
also set the EC coefficients (and/or the lag order)?
3)- Running the EG test, I notice that if the original series are
tested with a constant and/or a trend, the residuals in the 4th step
are also tested with a constant and/or trend. Can this be a bug, since
we are testing residuals?
4)- In the VECM specification window, one can choose up to 10
cointegrating vectors even if there are 2 series. IMHO, it would be
nice to put a limit depending on the number of series.
Thanks very much in advance for any help or suggestions.
Cheers
Talha
--
“An expert is a person who has made all the mistakes that can be made
in a very narrow field.” - Niels Bohr (1885-1962)
--
13 years, 10 months
Excess kurtosis
by Peter Tozer
Dear All, This may seem a simple question, but is the excess kurtosis value calculated by GRETL in the summary statistics command, the excess above the value 3, which is the kurtosis value of a normal curve, i.e. if I have an excess kurtosis value of 3.12, does that mean the kurtosis value is 6.12. I would like to know as I am trying to determine if several distributions I have are significantly different from the normal distributions and the tests depend on the value of the kurtosis not the excess kurtosis, which in GRETL may or may not be the same. Thanks in advance Peter
13 years, 10 months
Simple variable generation question
by Data Analytics Corp.
Hi,
I have car data that I imported from excel. The first column of the
excel worksheet has a car designation label: econ or prestige. The
first 40 observations are econ cars and the next 40 are prestige cars.
In Gretl, the designation appears as a row label. I'd like to subset
the data to model the econ cars. I tried to create a dummy variable,
seg, as
seg = (obs == "econ")
but that only sets the first observation to 1 and the rest to 0. I need
all 40 econ cars to have seg = 1 and the 40 prestige cars to have seg =
0. How can I do this?
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
_____________________________________________________
13 years, 10 months
multivariate probit
by Boris Demeshev
Dear All,
is it possible to estimate multivariate (3 variables in my case) probit
model in gretl?
I have found "biprobit" but it's only for 2 variables.
I have also found bivariate normal cdf...
Best,
Boris
13 years, 10 months
PCA: Retrieving the component loading coefficients
by Henrique Andrade
Dear Gretl Community,
In a "Principal Component Analysis" context, is there an accessor that can
be used for retrieve the component loading coefficients into a matrix?
Best regards,
Henrique Andrade*
*
13 years, 10 months
