Panel data: Problem with time dummies in loop construction
by Kevin Vermeiren
Dear all, I am working with panel data and I want to run a loop with time dummies. Unfortunately, I encounter a problem when trying to do so. loop i=1..4 # this loop needs to be performed 4 times genr k=($i*12)
genr Z=k-11
matrix Big=zeros(25,14)
list R= dt_$Z..dt_$k scalar j=0
loop foreach x R
smpl $x --dummy Here is the first part of my script where things go wrong. I need to make the list R 4 times. First with dt_1 to dt_12, in the second loop from dt_13 to dt_24 and so.After running this script Gretl returns the error value: ? list R= dt_$Z..dt_$k
The symbol 'dt_' is undefined
>> list R= dt_$Z..dt_$k When I run the following script I get the right values for k and Z but they have 6decimal digits (0's) (for instance Z=1,000000 instead of 1):loop i=1..4 # this loop needs to be performed 4 times genr k=($i*12)
genr Z=k-11
print k Zendloop Therefore I assume that the problem is that Gretl does not recognize dt_1,000000. I tried to use the function int() and round() to get rid off those decimal digits but these functions did not help. Is there any other solution to get rid off the decimal digits so that Gretl gets as input dt_$Z = dt_1 instead of dt_1,000000? Many thanks in advance. Best regards, Kevin Vermeiren
13 years
using list argument for (G)ARCH estimation
by artur tarassow
I justed wanted to run some G(ARCH) estimations and specified some lists
for the independent variables before I realized that this procedure does
not support the list argument at the moment. Instead, one has to write down
each dependent variable separately. This is fine for me, but it seems to be
in contrast to the standard procedures (e.g. OLS) where one can define a
list for the independent variables.
Best,
Artur
13 years
Function for Automatic Modelling of ARIMA Models
by Henrique Andrade
Dear Gretl Community,
I'm trying to make my first Gretl function and, incredibly [:)], I am
getting no success in this endeavor (and I know this is my fault).
My function estimates, in a automated and simplified way, ARIMA(p,1,q)
models. All that the user needs to do is determine the values of the
maximum "p", the maximum "q", and some simple options (include dummies,
plot graphs, etc.).
The first problem I found is that I can't save the models, so the command
""ARIMA($P,1,$Q)" <- arima $P 1 $Q ; Y --nc" doesn't work and I need to
replace it with "arima $P 1 $Q ; Y --nc".
Another problem: I can't save the forecasts. The command I'm using is
"fcast Y_hat_$P_1_$Q".
Attached you can find two files: "Função AutoARIMA.inp" (with my function),
and "Função AutoARIMA.inp" (where you can find the commands that can
reproduce my function).
Best regards,
Henrique Andrade*
*
13 years
issues with the DF/EG tests
by Daniel Ventosa S.
Hello,
I am teaching a basic course in Econometrics, and, as usual, I use Gretl for all empirical applications. A week ago, a couple of students (Alejandra Pérez and Natividad Aguilera) discovered something weird when using the DF test in the residuals or the Engle-Granger test. They know that, although the test is the same, critical are not. Anyway, the value of the t-ratio should be the same whether you use the EG option or do the test by yourself using the DF-test. They showed to me their example and I think they might be right. In their own words:
"Dear Sir or Madam,
We have some points that we would like to have clarified about the Engle-Granger cointegration test (coint ) and the Augmented Dickey-Fuller test (adf ) using two variables.
First, in the coint test, there is an option to allow Gretl to determine the number of lags of the dependent variable used in the adf test (from a maximum number of lags established by the user) and in the first step it reduces the sample according to this. Then the same sample is used to run the adf test on the other variable. Why Gretl does not use a sample according to the significant lags in each case/variable as if it were doing the adf test individually?
Second, once the sample is reduced in the first step, the ADF performed on residuals (second step) is done with the same reduced sample. Inference is not drawn using the original sample size. Why?
Third, when we run the coint test it is not possible to do the test for the residuals with different deterministic components. However, it is possible that the variables with unitary root have a tendency and the residuals series not. Why is it not possible to select different deterministic components for initial adf test and the adf test on the residuals?
Thank you for your attention to this message.
Yours faithfully,
Natividad Aguilera, economic’s master student from University of Guanajuato (UG) &
Alejandra Pérez, economic’s undergraduate student from Center for Reseach and Teaching in Economics (CIDE)."
Many thanks for your attention. You can corroborate this using any pair of time series (the number of lags must be fixed for both variables, the ADF and the EG).
Friendly Daniel
13 years
Small Bug when saving
by Pindar
Hi there,
yesterday I noticed that if the folder-name contains a special character
like the german 'ü' GRETL produced the following error 'zip error:
Temporary file failure' when saving the session. I now use 'ue' ;-)
Cheers
Leon
13 years
