VECM/VAR estimation using GLS
by Daniel Bencik
Dear forum,
I have a VECM, residuals of both equations show a correlation of approx 0.55 - is there a way in gretl where I can estimate a VECM/VAR using GLS so that I factor in the covar structure of residuals?
Many thanks,
Daniel
10 years, 10 months
Regression with ex-ante boundaries imposed on forecasted values
by Daniel Bencik
Dear forum,
this is more of a question related to econometrics. When, for example, your goal is to model/forecast weekly highs/weekly lows, when you run your regression on Tuesdays, you already know that the model should not predict a weekly high below the Monday's high. The Wednesday's prediction of the whole week's high should not be below max(mondayHigh, tuesdayHigh). My questions is whether there is an econometric tool/approach that is capable of estimating a model bearing this in mind. That is, I want the estimated coefficients to take into account, that the forecasts should not be below/above some value which changes over time (i.e. it is not a constant like e.g. zero or something).
Many thanks,
Daniel
10 years, 10 months
Re: [Gretl-users] graph is crazy - thank you!
by Wingenroth, Thorsten
Thanks to all, especially Allin. Works great now!
Kind regards,
Thorsten
-----Ursprüngliche Nachricht-----
Von: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von Allin Cottrell
Gesendet: Sonntag, 22. Februar 2015 18:10
An: r.lucchetti(a)univpm.it; Gretl list
Betreff: Re: [Gretl-users] graph is crazy
On Sun, 22 Feb 2015, Riccardo (Jack) Lucchetti wrote:
> On Sun, 22 Feb 2015, Allin Cottrell wrote:
>
>> A fix shouldn't be too far away. But this time I think I'll put in a
>> "backstop": if we find ourselves having to construct a "string table"
>> for data that are composed of nothing but digits, dot and comma, we
>> should flag an error and give up instead of accepting the data as string-valued.
>
> Excellent idea.
That's now in CVS and snapshots.
The problem with reading Thorsten's new data file was simpler than I guessed (and nothing to do with dates). There was an oversight in the code that meant it was not general enough: we got lucky with the first file Thorsten posted, the second one exposed the flaw. Now fixed.
Allin
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10 years, 11 months
graph is crazy
by Wingenroth, Thorsten
Hi,
finally I installed the latest snapshot (thanks Allan for pointing this out) , so I can test all the fixes you do for my ;-) bugs...
I imported the attached file. The thousands separator seems to be working fine. However, I am not sure if the numbers are interpreted as such. The log-file says:
variable 1 (Erster): non-numeric values = 3386 (100.00 percent)
variable 2 (Hoch): non-numeric values = 3386 (100.00 percent)
variable 3 (Tief): non-numeric values = 3386 (100.00 percent)
variable 4 (Schlusskurs): non-numeric values = 6486 (99.98 percent)
A bit odd. All are stock prices and therefore numbers.
A look at the times-series seems perfectly ok, but the graph is nonsense:
Schlusskurs
1990-02-22 9,51723
1990-02-23 9,41995
1990-02-26 9,29997
1990-02-27 9,52696
1990-02-28 9,69558
1990-03-01 9,80907
[cid:image001.png@01D04E7E.2C326390]
Could you please have a look at this?
Snapshot 1.10.0cvs, 64-Bit Windows
Thank you and kind regards,
Thorsten
Prof. Dr. Thorsten Wingenroth
Professor für Lehraufgaben BWL-Bank
Fakultät Wirtschaft | Studienzentrum Finanzwirtschaft (Center of Finance)
Duale Hochschule Baden-Württemberg Stuttgart
Baden-Wuerttemberg Cooperative State University Stuttgart
Herdweg 18 | 70174 Stuttgart
Fon +49 711 1849-766
thorsten.wingenroth(a)dhbw-stuttgart.de<mailto:thorsten.wingenroth@dhbw-stuttgart.de> | http://www.dhbw-stuttgart.de/bank
Master in Business Management - Banking & Finance
http://www.dhbw.de/master-finance
10 years, 11 months
heteroscedaticity in kalman filters
by Paolo Chirico
Dear Gretl users,
I discovered a way to perform (in Gretl) a local level model with
conditional heteroscedastic disturbances (see attached script).
The result is very similar to an ARIMA(0,1,1)+GARCH(1,1).
This way can be the base for several state space models with conditional
heteroscedastic disturbances.
Unfortunately, at the moment, I haven't a smart idea about the MLE
estimation of the parameters.
Any suggestions will be appreciated.
Paolo
10 years, 11 months
virus warning - update
by Stefano Fachin
A collegue using my same antivirus downloaded the snapshot from home and
had no warning, hence the infection must have taken place on the way
from the server to my LAN.
bye,
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
web http://stefanofachin.site.uniroma1.it/
10 years, 11 months
infection warning
by Stefano Fachin
dear everybody, I just downloaded the current Windows 32 bit snapshot
from the usual link
(http://sourceforge.net/projects/gretl/files/snapshots/gretl_install.exe/d...)
and my antivirus, Avast, blocked the installation with the warning of an
infection from Win32:Evo-gen [Susp], a nasty virus which opens a
backdoor and does key-logging. I suspect it to be a false positive, but
we'd better check carefully: can people using other antivirus test it,
please?
thanks,
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
web http://stefanofachin.site.uniroma1.it/
10 years, 11 months
(no subject)
by Artur Bala
Dear Allin,
Importing data from Stata doesn't seem to work anymore. A message error
comes out telling that gretl failed to load the "stata_import.dll" plugin.
Best,
Artur
10 years, 11 months
SUR - ADF test function package
by Samet Tandoğan
I want to estimate ADF regression SUR system with "trend" varriable but i
couldn't see any options for this. Is there any way to add "trend"
varriable test statistics equations.
10 years, 11 months
