Creating matrix rownames from varname(X)
by Lee Adkins

I'm stumped on this one. I want to be able to automate the creation of a
results table that does not contain t-ratios or pvalues (or be able to
suppress the t-ratio and pvalues in modprint).
varname(xlist) produces a string with commas separating the names, but the
rownames command wants spaces instead of commas. So far I haven't been able
to get a proper string to use with rownames using loops.
<>
open broiler
list xlist = const 2 3 4 5
matrix X = { xlist }
vn = varname(xlist)
vn
<>
This produces the string that contains commas:
const,Y,PCHICK,PBEEF,PCOR
But what I need is something of the form,
rownames(coeffs, "Y PCHICK PBEEF PCOR")
which does not contain commas.
Any hints?
Lee
--
Lee Adkins
Professor of Economics
lee.adkins(a)okstate.edu
learneconometrics.com
10 years, 10 months

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
10 years, 10 months

"Data types not conformable for operation" problem using SVAR
by Gregory Chaudoin

Hello,
I am a fairly new GRETL user in the classroom. I am teaching an intro
econometrics course where the students can use GRETL or Eviews. Everything
is going well, so far. But I would like to use SVAR in a follow up course.
However, I am stuck in neutral. I downloaded the SVAR package and was
testing it out using the provided HANSL:
# turn extra output off
set echo off
set messages off
# open the data and do some preliminary transformations
open sw_ch14.gdt
genr infl = 400*ldiff(PUNEW)
rename LHUR unemp
list X = unemp infl
list Z = const
# load the SVAR package
include SVAR.gfn
# set up the SVAR
Mod = SVAR_setup("C", X, Z, 3)
This generates the following:
gretl version 1.9.9
Current session: 2013-03-30 02:18
# turn extra output off
? set echo off
Read datafile C:Files_ch14.gdt
periodicity: 4, maxobs: 164
observations range: 1959:1-1999:4
Listing 3 variables:
0) const 1) LHUR 2) PUNEW
Data types not conformable for operation
*** error in function SVAR_setup
> bundle ret = null
Error executing script: halting
> Mod = SVAR_setup("C", X, Z, 3)
I suspect that I installed the package wrong. How can I get it to work
without the "*** error in function SVAR_setup
> bundle ret = null"?
Thanks.
10 years, 11 months

IRFs
by Gabriela Nodari

Dear all,
I would like to know if it is possible to have impulse responses starting
from 0 when calculating them via GUI. I don't know if someone has noticed,
but with the svar package the first response starts at the given point in
the y axis but for the x axis it is exactly at 0. While by using GUI the
first point estimate is at 1 for the x axis.
Thanks
Gabriela
10 years, 11 months

refreshing the "gretl: error" window
by artur bala

dear allin
I wanted to change manually some values of a matrix.
Once the matrix edited through the "icon view" window, instead of typing
numbers, by mistake I typed letters and obviously, gretl comes out with
an error message saying that no numeric conversion is performed. I
repeated the same "mistake" again and again and all the time the error
message seems to be "incremented" with a new message.
best,
artur
10 years, 11 months

Script for choosing appropriate VEC model based on trace test
by H Alp

Dear All,
Harris and Sollis cite Johansen's suggestion in choosing which of the three
models (Models 2, 3, and 4) in constructing a VEC model, one needs "to test
the joint hypothesis of both the rank order and the deterministic
components, based on the so-called Pantula principle." (p. 134-5)
"All three models are estimated and the results are presented from the most
restrictive alternative (i.e., r=0 and Model 2) through to the least
restrictive alternative (i.e., r=n-1 and Model 4). The test procedure is
then to move through from the least restrictive model and at each stage to
compare the trace test statistic to its critical value and only stop the
first time the null hypothesis is not rejected."
Then, using, UK real demand for money data, they present their Table 5.5
that lists the trace statistics for three different models at each rank
level and the statistic for which the first time the null is not rejected
is marked with a star.
I believe adding this procedure under Time Series section of the Model menu
for those of us who are not good at coding will be very helpful. However,
for its urgency for me, if someone could help me in coding this procedure
using one of gretl's sample data, I'll really appreciate it.
Thank you.
Alp
P.S. I tried but was not able to use "Model table" in icon view for this
specific purpose.
Harris, R and R. Sollis (2003) Applied Time Series Modelling and
Forecasting, p.134-5.
Johansen, S. (1992) Determination of cointegration rank in the presence of
a linear trend, Oxford Bulletin of Economics and Statistics, 54, 383-397.
10 years, 11 months

Re: [Gretl-users] Bootstrap procedure for IRFs
by Riccardo (Jack) Lucchetti

On Mon, 18 Mar 2013, Gabriela Nodari wrote:
> Thank you for the answer. I gave a look to the code but I fear I need some
> time to understand it completely.
>
> As for the Svar I know that the user can choose the number of replications.
> Instead, I would like to know what does gretl do when I ask to calculate
> and plot Irfs from the model window without using the Svar pack!
>
> Thank you!
Both the SVAR module and the C version use the simple bootstrap for
computing the confidence intervals for IRFs, as per Runkle (1987) "Vector
Autoregression and Reality", JBES.
I'll probably make the "bootstrap-after-bootstrap" method (Kilian 1998)
avalaible in the SVAR module soon, as an extra option.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
10 years, 11 months

Svar error
by Gabriela Nodari

Dear all,
After having estimate a Svar via the svar package, I have notice that I
get an error message:
error in function imp2exp
Matrix R = [, 1:(p-1)]
called by function init_C
called by function Svar_estimate
Why is it so?
Thanks for attention
Gabriela
10 years, 11 months

Bootstrap procedure for IRFs
by Gabriela Nodari

Dear all,
I'm dealing with a VAR model in gretl. Since I need to describe details
about the model estimation, could someone tell me what is the default
procedure of gretl for estimating confidence intervals for impulse response
functions? I didn't find it in the manual.
Thank you in advance.
Gabriela
10 years, 11 months

Fred API
by Sven Schreiber

Hi everybody,
has anybody ever tried to get gretl to connect directly to FRED? (See
http://api.stlouisfed.org/docs/fred/)
Is perhaps gretl already using such a link to retrieve the stuff under
databases -> on server?
cheers,
sven
10 years, 11 months