n bootstrapped coefficients
by valentina colombo
Dear Gretl's Users,
I need your
help! I have to compute the confidence intervals of cumulative fiscal
multipliers for horizon h=4, 8, 12, given as the ratio between GDP coefficients
over Tax coefficients. I'm estimating a SVAR. The bootdata, in the model
bundle, is a matrix with the bootstrap coefficient estimates (mean and median).
However, to construct the confidence intervals (percentiles) of the cumulative fiscal multipliers for each h I
need the entire distribution of the n bootstrapped coefficients for each
horizon h=1,..20.
How I can
save the matrix of the n bootstrapped coefficients?
Any suggestions?
Thanks
Valentina
7 years, 5 months
matrices in the icon windows
by Stefano Fachin
I was trying to get a global idea of a big matrix in the matrix viewer
of the icon windows and realised that the task would be much easier if I
could control the number of decimal digits. Now there are many more than
I need, and allowing for fewer many more columns would fit in the
screen. Of course it's not a big deal :-)
as usual, thanks a lot to Allin and Jack!
Stefano
--
_________________________________________________________________________
Stefano Fachin
Professore Ordinario di Statistica Economica
Dip. di Scienze Statistiche
Università di Roma "La Sapienza"
P.le A. Moro 5 - 00185 Roma - Italia
Tel. +39-06-49910834
fax +39-06-49910072
URL http://w3.uniroma1.it/fachin/
7 years, 5 months
bootstrap coefficient estimates
by valentina colombo
Dear Gretl's Users,
I have to compute the confidence intervals of cumulative fiscal multipliers for horizon=4, 8, 12, given as the ratio between GDP coefficients over Tax coefficients. I'm estimating an SVAR. The bootdata, in the model bundle, is a matrix with the bootstrap coefficient estimates (mean and median). However, to construct the confidence intervals (percentiles) I need the entire distribution of the n bootstrapped coefficients for each horizon h=1,..20
Any suggestions?
Thanks
Valentina
7 years, 5 months
Testing after ARIMA or AR estimation before non linear modelling
by JOSE FRANCISCO PERLES RIBES
Dear list:
First of all, sorry if the question is very basic. But It's a curiosity.
I'm exploring the issue of modelling non-linear time series. I have read in
several articles that a correct strategy is often to start by fitting a
linear model (for example a simple Autoregressive model) and if it is not
satisfactory, then try to fit a TAR, SETAR or Markov Switching Model,.... I
think this is a classical approach.
In the papers that I have read, in order to detect deviation from linearity
most authors apply several test over the residuals of the simple first
estimated AR model (for example RESET test, BDS test, Mc. Leod test are
common in this context). Then after reject the Null in these test, they
proceed with the non-linear model.
My question is: before to try with my real series, playing with some series
in Gretl, I have seen that after estimating an AR model or ARIMA model with
the options built in Gretl-GUI, the "test" post-estimation option only
allows to test for Normality or ARCH (I think this is Mc Leod test), but
other options as RESET or Non-linearity are not activated.
Only after estimating a model via OLS menu with the dependent variable and
its lags -that is not the same of estimating the AR(1) model, so the
constant change as usual- these post-estimation options are allowed.(I
think this kind of models is the preferred process in most papers)
I think this Gretl behavior is due that in an ARIMA context you can add AR
or MA terms in your model until to get residuals to be white noise. So, no
more steps are needed.
However, I have checked that in Eviews the options RESET, etc. are (like
not in Gretl) allowed after estimating both, the AR(1) model and the
equation with the lagged dependent variable.
Y C AR(1) AR residual term model
Y C Y(-1) model with the lagged endogenous variable
So, my curiosity and second question: Why this difference among Gretl and
Eviews, the disallowed options in Gretl are for some special considerations?
With the specification of lagged dependent variable there is not poblem
because the options are allowed in both software. But, if I want to perform
this kind of analysis in Gretl, with an AR model, which is the correct form
to proceed?. Save the residuals of my estimated AR model and export them to
R or other software to perform the BDS or RESET test as usual in literature?
Thanks in advance.
José Perles
University of Alicante
Spain
I
7 years, 5 months
svar inquiry
by Deborah Sy
To the Gretl community,
I am trying to do the long run Structural VAR using 9 variables. With the
(n^2-n)/2 formula, I am left with 36 constraints. I used the C-model and I
was able to restrict the template matrix but I cannot seem to generate the
SVAR result.
The following is the Hansl code shown:
Index value 0 is out of bounds.
*** error in function init_C, line 4
> S = Ss [,1:k-1]
called by function SVAR_estimate
called by function GUI_SVAR
May I know what went wrong here? Your help is greatly appreciated.
7 years, 5 months
Test for data connection
by Logan Kelly
Hello all,
Is there a way to test for an active data connection before calling readfile() or curl()?
Thanks,
Logan
7 years, 5 months
How to specify a file name that uses variables from a list
by Robert W. Jones
I have a list of variables {alpha, beta, gamma, delta} and want to plot
each of them against a variable called "time" and print the gnuplot to a
file using the ".png" option. How do I rename each file during the loop so
that they do not overwrite each other. I would like to print to files
labeled alpha.png, beta.png, gamma.png, and delta.png.
This is the code that I have. The list name is alphabet. The questions
marks are the part of the code I can't figure out.
loop foreach letter alphabet
gnuplot $letter time --output= ????????.png
endloop
7 years, 5 months
multiple graphs with bundle-plot in function package?
by Sven Schreiber
Hi,
I'm currently creating a function package with all the recent nice bells
& whistles as described in the manual ch. 13.
(BTW, what is the minimum version requirement when the package uses
gui_main, bundle_print etc.? On a related note, perhaps it would be
advisable that gretl checks the minimum version that a function package
requires against some objective criteria, for example if the package
uses bundles, in what gretl version were bundles introduced, etc. etc.)
The manual says about bundle_plot: "...producing a plot or graph..."
What is the recommended way to proceed when one wants to have the
package produce multiple plots?
Thanks,
sven
7 years, 5 months
gretl crashes consistently on Ubuntu 1404 as the 'OK' button is clicked.
by Malcolm Bradley
My problem has been resolved by having a triple boot machine. Fedora 17 32
bit with gretl 1.9.11 does not crash.
All with the same gdt file.
gretl with windows 7 professional - ok
gretl with ubuntu 1404 - not ok
gretl with fedora 17 - ok
I went with Fedora 17 as it appeared to be the latest version at 32 bit. I
think the gretl version I used on Ubuntu was 1.9.14 - I am currently on the
Fedora disk. That means that I cannot be sure that the problem rests with
Ubuntu or the version of gretl that I was using. The comments I had back
were sufficient to cause me to triple boot my netbook and step around the
problem, so thank you.
Finally, the reason I was keen to use gretl (rather than my expensive
Minitab licence) is simply the output of the model - OLS option is better /
more compact and more readable than Minitab ( in my opinon). So once again
thanks for that.
The next part of my current project involves applying data to a Weibull
distribution. I have been using Minitab for this for the last 15 years but
I am happy to move if something better is available - any ideas?
Malcolm Bradley
7 years, 5 months
