Examples of Gretl scripts
by Carlos Andrade
Dear All,
Where to get examples of Gretl scripts for different types of analysis?
--
Atenciosamente,
Prof. Carlos A. S. de Andrade
LAPEA - Laboratório de Pesquisa em Economia Aplicada e Engenharia de
Produção
Universidade Federal de Campina Grande.
Centro de Humanidades
Unidade Acadêmica de Economia
11 years, 3 months
Re: [Gretl-users] GARCH, Forecasting
by Allin Cottrell
On Mon, 17 Jan 2011, [ISO-8859-1] Alejandro Mosi�o wrote:
> Maybe i was not too much specific last time:
>
> I have a variable "y" that follows a GARCH(1,1) process. Then, i Gretl i
> type:
>
> garch 1 1 ; y const
>
> Then i got the result and forecasting the out-of-sample values of y can
> be done in the usual way. However, i'm interested in forecasting the
> out-of-sample variance. I don't know if such a function exists in Gretl.
There is no built-in function to do this, but you can compute a
one-step ahead forecast of the variance from the model data, as
hown in the following example script.
<script>
open b-g.gdt
garch 1 1 ; Y
series e = $uhat
series h = $h
dataset addobs 10
a0 = $coeff[2]
a1 = $coeff[3]
b1 = $coeff[4]
series hfc = h
# set future errors to their expectation
e = misszero(e)
# forecast the variance
hfc = a0 + a1 * e(-1)^2 + b1 * hfc(-1)
smpl 1970 ;
print e h hfc --byobs
</script>
Allin Cottrell
11 years, 8 months
Windows snapshot
by Allin Cottrell
In the current Windows snapshot I'm experimenting with an
update of the GTK runtime files, from version 2.16 to version
2.24. I've done a little testing and it seems OK, but I'd be
grateful if Windows users could try the snapshot and let me
know if anything seems broken.
Allin Cottrell
11 years, 11 months
Feature Request: ODBC import as matrix
by Pindar
Hi there,
the ODBC import tool is a very powerful tool and I appreciate it much!
However, while working with it I came across some situations when the
option of importing as matrix would be nice
e.g. via data .... --odbc --matrix.
Here are my thoughts:
1) When working with multiple databases (with different structures) in
order to combine information the necessary steps are: work with
'nulldata' command, creating an appropriate observation index, use the
odbc import, change the series to a matrix, use 'nulldata --preserve'
and start with the next odbc import. This works fine. The point is, that
loops for subsequent sql statements over the whole script are impossible
e.g. when creating a panel.
2) If the observation string is cryptic like 1/1/FK/2012Q1 importing as
matrix would provide an easy way of using the obs-format option to
specify the rownames of the matrix and get without the need of a 'manual
intervention' the 'help information for the obs-string' into GRETL (
Matrix_Index_1stEntry London 1 ...). The usual series name would be
the colname.
3) For the right sizing of the index it is crucial to now the length of
an data imported via odbc. If this length is 'endogenous' a count sql
statement provides the needed information. Again if I want to work the
script automatically I need to import a whole series with only one value
and have to rescue this value as scalar (or matrix).
What do you think? Is it possible to add such an option without much
effort? Or should it better be an update to the 'mread' function?
Cheers
Leon
11 years, 11 months
Gretl deseas()
by Paulo Grahl
Hi,
Gretl manual states that deseas() calls X-12-ARIMA or TRAMO/SEATS with all
options at their default settings.
Two questions:
a) do these 'default settings' change when I change the options
interactively in gretl menus?
b) if not, how can I play with the options? I just want to force log
transformation instead of letting it at 'auto' (which I think is the
default)
Thanks
Paulo
--
Paulo Gustavo Grahl, CFA
------------------------------------------
pgrahl(a)gmail.com
pgrahl(a)fgvmail.br
+55(21) 8809-9254
skype:paulo.grahl
www.linkedin.com/in/pgrahl
------------------------------------------
11 years, 12 months
Suggestions: Simultaneous Equations System
by Henrique Andrade
Dear Gretl Team,
I would like to suggest a "simple" improvement and a "small" modification
on the GUI of simultaneous equations system.
The improvement would be the insertion of examples in the Help.
While the modification would be allow activation the Help window, in order
to put it in front of the system estimation window (now we have the system
estimation window always on top).
Thanks in advance,
Henrique Andrade*
*
11 years, 12 months
Re: [Gretl-users] a simple question
by Allin Cottrell
[Paolo: you need to send mail to the address above, not
gretl-users-owner.]
On Fri, 27 Jul 2012, Paolo Malanima wrote:
> I would need an information!
>
> Is there the possibility to start a time series with a year preceding
> 1700? For economic historians this possibility is important. I see that
> if you start a series with the year 1500, the system corrects and starts
> with 1700.
The GUI program takes 1700 as the earliest starting year, but you can override
that from the console / script, as in
nulldata 400
setobs 1 1500
You now have annual data, 1500 to 1899.
Allin Cottrell
12 years
Ralph M Rodriguez/PO/KAIPERM is out of the office.
by Ralph.M.Rodriguez＠kp.org
I will be out of the office starting 07/23/2012 and will not return until
07/27/2012.
Hi All, I will be out of the office on business from Monday, July 23
through Thursday July 26 , returning to the office on Friday, July 27. I
will be checking emails while away from office, but if you have any
concerns with Cost Model and other construction economics matters, please,
contact Bradley Njus at 510 625 4595.
Thanks
ralph
Ralph
12 years
out of sample forecasting
by yadong li
is there any way to obtain out of sample R square using Gretl ?
I tried many time but couldn't figure it out.
appreciate for help
best,
yadong
12 years
Displaying a time-series continously
by Johannes Lips
Hi all,
I recently stumbled upon a feature of an old closed-source econometric
package and I was wondering who this feature is called and if this is
implemented in an open-source software.
The feature is that you could define a certain time-period (day, week,
month) and then cycle through the whole time-series with the arrow keys
step-by-step and display the defined time-period.
So you could check the time-series week-by-week and detect outliers,
pattern changes etc.
I am just asking if someone knows something similar and how to call this
feature, since I couldn't find anything in this regard.
Sorry for being a bit off-topic,
Johannes
12 years
