December 2014 - Gretl-users - gretlml.univpm.it

by Logan Kelly

Hello, I need to take the log difference of a matrix, i.e. log(M[2 rows(M):,]/M[1:rows(M)-1,]). Unfortunately, M has elements equal to zero. I need to replace the nan's and inf's with 0's. This almost works M = isnan(M) ? 0 : M but does not remove inf's. Any sugestions?

8 years, 10 months

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Forecasting variance of a GARCH model

by Karthik Raju

Hello, I am writing to seek help to forecast volatility of index returns using GRETL. In GRETL, I want to know how to perform in the sample and out of sample forecasting after estimating index return series by using GARCH variants in the gig package. Thank you. Best, Karthik

10 years, 1 month

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bivariate probit in a loop

by Artur Bala

Dear all, I'm currently estimating a bootstraped bivariate probit through a progressive loop and retrieve each time the $yhat matrix. At some point, the execution is interrupted with the "warning": The statistic you requested is not available >> genr series predict_external = $yhat[,1] Is there a perfect prediction symptom behind this message isn't it? Can one, in such a loop, skip cases where the MLE estimation is not technically possible? Best, Artur

10 years, 2 months

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Ox and Stata support

by Henrique Andrade

Dear Allin, I would like to suggest some small changes in the GUI. Today we can use Stata and Ox inside Gretl with the "foreign" function. I think we could integrate them in the same way. Today we need to set the option "Enable Ox support" inside the "Options" menu but the Stata support doesn't need this option. Another point we could think about is the "New script" entry in the "File" menu. There is no option to write Stata code (only Ox is available). Best regards, Henrique Andrade

10 years, 3 months

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Re: [Gretl-users] Automating regressions on various variables

by Daniel Bencik

Logan, thanks a lot, but e.g. with anscombe.gdt open this code strings explainedVars = array(1) explainedVars[1] = "x" strings explanatoryVars = array(1) explanatoryVars[1] = "y1(-1)" ols @explainedVars[1] @explanatoryVars[1] gives me the following message Unexpected symbol '@' Where is the problem? Daniel ______________________________________________________________ > Od: <gretl-users-request(a)lists.wfu.edu> > Komu: <gretl-users(a)lists.wfu.edu> > Datum: 26.12.2014 18:05 > Předmět: Gretl-users Digest, Vol 95, Issue 17 > Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users <http://lists.wfu.edu/mailman/listinfo/gretl-users> or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Automating regressions on various variables (Daniel Bencik) 2. Re: Automating regressions on various variables (Logan Kelly) ---------------------------------------------------------------------- Message: 1 Date: Fri, 26 Dec 2014 17:34:45 +0100 From: Daniel Bencik <eubie(a)centrum.cz> Subject: [Gretl-users] Automating regressions on various variables To: "gretl-users" <gretl-users(a)lists.wfu.edu> Message-ID: <20141226173445.09ED69DB(a)centrum.cz> Content-Type: text/plain; charset="utf-8" Hello,? ? I have several measures of volatility v1, v2, v3 and their 5-day and 22-day averages (v1_5, v1_22, etc.) loaded into the session. What I would like is to write a loop over the explained and explanatory variables so that I have one code for OLS estimation into which I just feed different data. The pseudocode should look something like this ? strings explainedVars = array(3) explainedVars[1] = "v1" explainedVars[2] = "v2" explainedVars[3] = "v3" ? strings explanatoryVars = array(9) explanatoryVars[1] = "v1(-1)" explanatoryVars[2] = "v1_5(-1)" explanatoryVars[3] = "v1_22(-1)"? ... explanatoryVars[9] = "v3_22(-1)"? ? loop i = 1 to 3 ?loop j = 1 to 9 ? ? ols?explainedVars[i] ?explanatoryVars[j] ?endloop endloop ? The OLS line is the one that is not working for me, I do not know how to tell the estimation command that the string?explainedVars[i] should be taken as a series name. The problem is naturally a simplified version of the real problem. ? Any help is much appreciated,? Daniel ? ? -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20141226/943d850d/... <http://lists.wfu.edu/pipermail/gretl-users/attachments/20141226/943d850d/...> ------------------------------ Message: 2 Date: Fri, 26 Dec 2014 16:46:56 +0000 From: Logan Kelly <logan.kelly(a)uwrf.edu> Subject: Re: [Gretl-users] Automating regressions on various variables To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <cqqpy2dn7nsfutsfkvsjmj6d.1419612412068(a)email.android.com> Content-Type: text/plain; charset="utf-8" You nee to use the @ symbols to signify a string substitution. Try ols @explainedVars[i] @explanatoryVars[j] Logan Sent from my T-Mobile 4G LTE Device -------- Original message -------- From: Daniel Bencik <eubie(a)centrum.cz> Date:12/26/2014 10:37 AM (GMT-06:00) To: gretl-users <gretl-users(a)lists.wfu.edu> Cc: Subject: [Gretl-users] Automating regressions on various variables Hello, I have several measures of volatility v1, v2, v3 and their 5-day and 22-day averages (v1_5, v1_22, etc.) loaded into the session. What I would like is to write a loop over the explained and explanatory variables so that I have one code for OLS estimation into which I just feed different data. The pseudocode should look something like this strings explainedVars = array(3) explainedVars[1] = "v1" explainedVars[2] = "v2" explainedVars[3] = "v3" strings explanatoryVars = array(9) explanatoryVars[1] = "v1(-1)" explanatoryVars[2] = "v1_5(-1)" explanatoryVars[3] = "v1_22(-1)" ... explanatoryVars[9] = "v3_22(-1)" loop i = 1 to 3 loop j = 1 to 9 ols explainedVars[i] explanatoryVars[j] endloop endloop The OLS line is the one that is not working for me, I do not know how to tell the estimation command that the string explainedVars[i] should be taken as a series name. The problem is naturally a simplified version of the real problem. Any help is much appreciated, Daniel -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20141226/8bda7d3a/... <http://lists.wfu.edu/pipermail/gretl-users/attachments/20141226/8bda7d3a/...> ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users <http://lists.wfu.edu/mailman/listinfo/gretl-users> End of Gretl-users Digest, Vol 95, Issue 17 *******************************************

10 years, 3 months

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Re: [Gretl-users] the Bai-Perron test for structural change

by Randy Kesselring

I can confirm that Professor Cottrell's suggestion works. the GRETL access to R is a very nice feature. Sent from my ASUS -------- Original Message -------- From:Allin Cottrell <cottrell(a)wfu.edu> Sent:Sun, 28 Dec 2014 15:39:19 -0600 To:Gretl list <gretl-users(a)lists.wfu.edu> Subject:Re: [Gretl-users] the Bai-Perron test for structural change On Fri, 26 Dec 2014, JOSÉ LUIS MARTÍNEZ-GONZÁLEZ wrote: > Dear friends, how I can use the Bai-Perron test for structural change in > Gretl? To my knowledge, nobody has coded the Bai-Perron test in hansl (gretl's scripting language) at this point. It would not be very difficult to do so, given the GAUSS code made available by Bai and Perron. In the meantime, one could use gretl's link to R and do this test using the strucchange package for R. Allin Cottrell

10 years, 3 months

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the Bai-Perron test for structural change

by JOSÉ LUIS MARTÍNEZ-GONZÁLEZ

Dear friends, how I can use the Bai-Perron test for structural change in Gretl? Thanks José Luis Barcelona University of Barcelona

10 years, 3 months

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Automating regressions on various variables

by Daniel Bencik

Hello, I have several measures of volatility v1, v2, v3 and their 5-day and 22-day averages (v1_5, v1_22, etc.) loaded into the session. What I would like is to write a loop over the explained and explanatory variables so that I have one code for OLS estimation into which I just feed different data. The pseudocode should look something like this strings explainedVars = array(3) explainedVars[1] = "v1" explainedVars[2] = "v2" explainedVars[3] = "v3" strings explanatoryVars = array(9) explanatoryVars[1] = "v1(-1)" explanatoryVars[2] = "v1_5(-1)" explanatoryVars[3] = "v1_22(-1)" ... explanatoryVars[9] = "v3_22(-1)" loop i = 1 to 3 loop j = 1 to 9 ols explainedVars[i] explanatoryVars[j] endloop endloop The OLS line is the one that is not working for me, I do not know how to tell the estimation command that the string explainedVars[i] should be taken as a series name. The problem is naturally a simplified version of the real problem. Any help is much appreciated, Daniel

10 years, 3 months

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Crash when compacting hourly data

by Andreï | Андрей Викторович

Dear developers, Today I came across an error that crashes my latest (straight from the CVS) compilation of gretl. Consider the following sample file. I import it in the programme via drag-and-dropping; it says that the data have been interpreted as *undated*, and I choose “Yes” to set up the time series, and select the “Hourly” option, but the command log looks suspicious: # Log started 2014-12-25 01:07 # Record of session commands. Please note that this will # likely require editing if it is to be run as a script. open /home/fifis/Downloads/bitc-test.csv 24 1:01 --time-series So the last line seems severely truncated from the beginning. OK, let's try to compact the data via “Data” — “Compact data”. Wham! Crash. When I run gretl GUI from the command prompt (just to witness the crash and warning messages), it says “Segmentation fault”. Originally, I had used a larger data file, but it crashes in the same manner, so the attachment is a minimum working example. I should be grateful if you looked at this issue... just after some decent holiday vacation! Merry Christmas and a happy Hew Year! To quote a great econometrician (Wooldridge) on Christmas, “For example, since Christmas always comes at the same time of year, we can expect retail prices to be, on average, higher in months late in the year than in earlier months.” Doing econometrics on Christmas night, what can be more glorious and swell? -- Yours sincerely, | С уважением, Andreï V. Kostyrka. | Андрей Викторович Костырка. http://kostyrka.ru, http://kostyrka.ru/blog

10 years, 3 months

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Re: [Gretl-users] Automating regressions on various variables

by Logan Kelly

You nee to use the @ symbols to signify a string substitution. Try ols @explainedVars[i] @explanatoryVars[j] Logan Sent from my T-Mobile 4G LTE Device -------- Original message -------- From: Daniel Bencik <eubie(a)centrum.cz> Date:12/26/2014 10:37 AM (GMT-06:00) To: gretl-users <gretl-users(a)lists.wfu.edu> Cc: Subject: [Gretl-users] Automating regressions on various variables Hello, I have several measures of volatility v1, v2, v3 and their 5-day and 22-day averages (v1_5, v1_22, etc.) loaded into the session. What I would like is to write a loop over the explained and explanatory variables so that I have one code for OLS estimation into which I just feed different data. The pseudocode should look something like this strings explainedVars = array(3) explainedVars[1] = "v1" explainedVars[2] = "v2" explainedVars[3] = "v3" strings explanatoryVars = array(9) explanatoryVars[1] = "v1(-1)" explanatoryVars[2] = "v1_5(-1)" explanatoryVars[3] = "v1_22(-1)" ... explanatoryVars[9] = "v3_22(-1)" loop i = 1 to 3 loop j = 1 to 9 ols explainedVars[i] explanatoryVars[j] endloop endloop The OLS line is the one that is not working for me, I do not know how to tell the estimation command that the string explainedVars[i] should be taken as a series name. The problem is naturally a simplified version of the real problem. Any help is much appreciated, Daniel

10 years, 3 months

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Gretl-users December 2014