unable to save a bundle out of a bundle via GUI
by Pindar
Hi,
while working with felogit.gfn I noticed that it is not possible to save
an already stored bundle out of a bundle via GUI
<hansl>
bundle bA = null
bundle bB = null
bA["newB"] = bB
bundle newB = bA["newB"] # works in script but not via GUI
<hansl>
I'm using gretl x64 on Windows 8.1.
Cheers
Leon
11 years, 1 month
ADF test
by antonio.puca＠enel.com
Hello Gretl community,
I have a request...My time series is based on daily data but I need monitor mean reverting tendency (using ADF test coefficient) for each monthly subset. My output would be an ADF test on monthly group of my daily time series.
Thanks a lot
11 years, 1 month
DOLS
by Claudio Shikida (敷田治誠 クラウジオ)
Hi
Just one question: is there any script for gretl that calculate DOLS (Stock
& Watson 1993)?
Thank you
Claudio
Obrigado / Thanks for your time and attention.
Claudio D. Shikida
http://www.cdshikida.net and http://works.bepress.com/claudio_shikida/
Esta mensagem pode conter informação confidencial e/ou privilegiada. Se
você não for o destinatário ou a pessoa autorizada a receber esta mensagem,
não poderá usar, copiar ou divulgar as informações nela contidas ou tomar
qualquer ação baseada nessas informações. Se você recebeu esta mensagem por
engano, por favor avise imediatamente o remetente, respondendo o presente
e-mail e apague-o em seguida.
This message may contain confidential and/or privileged information. If you
are not the addressee or authorized to receive this for the addressee, you
must not use, copy, disclose or take any action based on this message or
any information herein. If you have received this message in error, please
advise the sender immediately by reply e-mail and delete this message.
11 years, 1 month
Poisson with Offset
by Pindar
Hi,
I'd like to replicate the coefficients obtained by 'poisson ; offset'
with MLE statements.
Here is an example that shows the differences.
Btw, is there a more efficient way of coding the MLE e.g. in case of 20
regressors?
Cheers
Leon
<hansl>
open rac3d.gdt --quiet
list X = SEX INCOME
# Poisson regression
poisson DVISITS 0 X
# Initial OLS to get starting values for the coefficients
ols DVISITS 0 X --quiet
list xList = $xlist
matrix b = zeros(1,nelem(xList))
mle loglik = DVISITS*Xb - exp(Xb)
series Xb = lincomb(xList,b)
deriv b = {DVISITS - exp(Xb), \
SEX*(DVISITS - exp(Xb)), \
INCOME*(DVISITS - exp(Xb))}
end mle --hessian
# Poisson regression with Offset
poisson DVISITS 0 X ; AGE
series DVISITS_off = DVISITS/AGE #*try*
mle loglik = DVISITS_off*Xb - exp(Xb)
series Xb = lincomb(xList,b)
deriv b = {DVISITS_off - exp(Xb), \
SEX*(DVISITS_off - exp(Xb)), \
INCOME*(DVISITS_off - exp(Xb))}
end mle --hessian
<hansl>
11 years, 1 month
mols() and openmp support
by Artur T.
Hi I just saw that the mols() function now supports
parallelization. Just out of curiosity: How high is
the efficiency gain to to be expected?
Cheers,
Artur
11 years, 1 month
data standardization
by antonio.puca＠enel.com
Hello Gretl communuty,
i'm writing for an easy question (I hope). I need to standardize a daily time series based on a monthlly mean and standard deviation (not global mean and standard deviation, this is the main problem). I've tried with matrix but I'm not able to convert a matrix, which is made with an aggregate function (based on monthly mean and stddev), in a variable in my TS with almost 300 obs.
11 years, 1 month
Structural break tests
by Julien Chevallier
Greetings everyone,
it is perhaps a bit late to ask, but I would like to run some structural
break tests in Gretl with my class (in computer lab).
Is there any way to run Bai-Perron or Zivot Andrews? I'd like to go further
than Chow test
Thanks a lot
Julien,
University Paris 8
11 years, 1 month
confirm 347f524a4442c508a98e82c988136a617471d39b
by antonio.puca＠enel.com
Antonio Puca
Enel Trade SpA
Energy Management Business Area - Origination
Viale Regina Margherita 125 - 00198 Roma - Italia
Tel: +39 06 8305 9333
Email: Antonio.Puca(a)enel.com<mailto:antonio.puca@enel.com>
[cid:image001.png@01CC4223.F4030930]
11 years, 1 month
summary command within variation
by Pindar
Hi there,
I noticed that the summary command does show the within and between
variation for a series but not for lists.
Hence, I wanted to calculate the variation components with a UDF.
On page 33 of this presentation
http://fmwww.bc.edu/repec/msug2010/mex10sug_trivedi.pdf
the stata output for the series mdu of the data set 'mus18data.dta'
(http://fmwww.bc.edu/ec-p/data/mus/) is shown.
The only difference to the gretl output is the calculated within variation:
STATA 2.5759
gretl 3.0627
When trying to calculate it myself I came up with totally different
outcomes.
How is it correct? Is there 'a' correct method?
Cheers
Leon
<hansl>
summary mdu
series x_bar_i= pmean(mdu)
series x_bar = mean(mdu)
## between variation
eval sd(pmean(mdu)) # OK
eval sqrt(sum(((x_bar_i-x_bar)^2))/5908/5) # OK, Baltagi (2003) p.76f
*## within variation*
eval mean(psd(mdu)) # *wrong*
eval sqrt(sum((mdu-x_bar_i)^2)/5908/5) # *wrong*, Baltagi (2003) p.76
<hansl>
11 years, 1 month
