June 2015 - 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?

9 years

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Re: [Gretl-users] series of estimated log-likelihood values - Clarification for accessor $llt

by Alecos Papadopoulos

In the Help we read, as regards the accessor $llt << $llt Output: series For selected models estimated via Maximum Likelihood, returns the series of per-observation log-likelihood values. At present this is supported only for binary logit and probit, tobit and heckit. >> But what if I estimate a model using the mle command in a hand-made a script? Will the accessor work? It appears not: After the "end mle" line I typed series llobs = $llt and I got "The statistic you requested is not available". But maybe I have not incorporated it correctly. Motive: I need the per-observation log-likelihood values to run Vuong's (1989) LR tests to select between non-nested models. -- Alecos Papadopoulos PhD Candidate Athens University of Economics and Business, Greece Department of Economics https://alecospapadopoulos.wordpress.com/

10 years

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ARIMA with modifications

by mastro2387＠tiscali.it

Hi everybody, I am testing a forecast model but I think I need a help for you.. I would like to forecast stock prices but with the modification to check for the buy and sell edges, namely the buy limit (maximum price) and the sell limit (minimum price). Is there any way to do this in gretl? I was thinking to an ARIMA but at this point I think I should add more variables.. I hope I defined the issue in an understandable way... Thanks.. Connetti gratis il mondo con la nuova indoona: hai la chat, le chiamate, le video chiamate e persino le chiamate di gruppo. E chiami gratis anche i numeri fissi e mobili nel mondo! Scarica subito l’app Vai su https://www.indoona.com/

10 years

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Re: [Gretl-users] test-down option reports different results in adf

by Koray Simsek

Dear Allin and Sven, Many thanks for your quick responses. I do agree with Sven that it shouldn't matter qualitatively, but I think that it should be considered normal to expect quantitatively consistent results when running the same test, even though it's through different procedures. By the way, I downloaded and installed the current snapshot (1.10.90.cvs build date 2015-05-30) but the results are still different. adf runs the test-down on the common data set (N-1-maxlag) for lag selection, but reports the "optimal" lag ADF results on the full data set (N-1-bestlag). coint reports the ADF results directly from the test-down run for the "optimal" lag (N-1-maxlag). Koray

10 years

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quantile() definition details

by Sven Schreiber

Hi, I wonder whether the behavior of the quantile() function in cases where p < 1/(n+1) is optimal. Currently, things like quantile({-1; 1}, 0.1) return NA, because 0.1 < rows({-1; 1}). (See the definition in the quantile reference, here (n+1)*p = 3*0.1 = 0.3, of which the integer part is zero, and there exists no zero-th element in the ordered data vector.) Given that quantiles can be defined in different ways, this is not wrong. However, one could also use the minimum value in these cases. This would correspond to a quantile definition where a fraction p of the values is smaller *or equal to* the relevant quantile. See also the practice in other software, for example the repeated phrase "When p < 1 / (N+1), use x1" in the following software survey table: http://en.wikipedia.org/wiki/Quantile#Estimating_the_quantiles_of_a_popul... So my bottom line is: quantile() should always return something useful instead of NA. Thanks, sven

10 years

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[Panel data post estimation]

by JOSE FRANCISCO PERLES RIBES

Dear list: This morning a friend estimating panel data using Stata asked me how to select among different estimated models. I'm not expert in panel data analysis neither a Stata user, but I have replied the possibility to use the Hausman test to choice between FE and RE.... and among the different FE and RE estimated models to use the adjusted R2, AIC or BIC criteria to select the best one.... He replied me that he cannot get the AIC and BIC criteria for RE models, because Stata warns: "estat ic (the command Stata uses to provide AIC and BIC) is not appropriate after xtreg with the be , pa, or re (random effects) option".... where be = (between effects) and re=(random effects) After looking for different Stata forums I have found other users with the same issue...but not solution and explanation have been found on this topic. However, I have just checked that Gretl provides and AIC and BIC values after random effects and between effects estimation. Somebody has a clue because Stata warns about this AIC and BIC criteria with this models??? Are the values provided by Gretl reliables to compare this kind of models or there are a better criteria to compare them?? Could be this issue due for different estimation methods in Stata and Gretl for panel data??? Thanks in advance and sorry for any inconvenience. José Perles University of Alicante (Spain)

10 years

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opening session files in a script

by Sven Schreiber

Hi, is it actually possible to open session files (.gretl) in a Hansl command script? In the user guide it just says how to start the gretl program together with a session ("type gretl -r sessionfile"). But what I mean is that gretl is already running and I want to do something like "open mysession.gretl". This didn't work. thanks, sven

10 years

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Feature Request: "--preserve" option

by Henrique Andrade

Dear Gretl Team, We can use the option "--preserve" with the "open" command to preserve matrices and scalars. I would like to ask you if it is possible to include strings too (so the "preserve" option will preserve matrices, scalars, and strings). Best regards, Henrique Andrade

10 years

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Build Gretl on Windows

by Mark Zudeck

I am trying to get the source code and, preferably, build files for building Gretl on Windows. I'm finding it very difficult. The site http://gretl.sourceforge.net/win32/ says "If you want to build gretl for Windows yourself, you can download the gretl latest source package at" http://sourceforge.net/projects/gretl/ "and take a look in the win32 sub-directory." I went to that page, and there is a single Download button, which downloads a setup for an executable version of the program which has no wind32 sub-directory or source files. Then, I tried to use a CVS command line, passing module names which I had from Sourceforge SCM repositories list at http://gretl.cvs.sourceforge.net/viewvc/gretl/gretl/ I get "cvs checkout: Empty password used - try 'cvs login' with a real password". Can somebody please tell me, step by step, how I can simply get the project source code and, preferably, any build files for a Windows? - MZ

10 years

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About Durbin-Watson reported on panel data (FE) estimation

by Iván Pascual

Hello everyone, Which version of the Durbin-Watson test for autocorrelation is the one reported on the output of the Fixed Effects estimation using panel data? I read that the modification of the original test for balanced panel data is by Bhargava et al. (1982) and a version for unbalanced panel data is from Baltagi and Wu (1999). Which one is being reported on Gretl? Thanks a lot! IP.

10 years, 1 month

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Gretl-users June 2015