removing nan and inf from a matrix
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?
4 years, 1 month

X-12-ARIMA 64bits
by Carlos Andrade

Hello Gretl users,
I installed the 1.9.92 version of Gretl Linux x86_64 in Debian 8 AMD64.
Where do I find the x86_64 version of X-12-ARIMA for Gretl 1.9.92?
Thanks.
--
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
4 years, 8 months

Impulse responses in gretl: levels or first differences?
by Stefan A.

Dear fellow gretl users,
I was wondering whether the impulse response functions for VEC models
in gretl are calculated in levels or in first differences? According to
the gretl guide, IRF are defined as the partial derivative of the
l.h.s. dependent variable divided by the partial derivative of an
orthogonalised shock. Since the VEC is represented similar to a VAR in
first differences (see eq. 27.2 in the gretl guide), with a vector
containing the variables in first differences on the l.h.s. and with an
error correction term containing in levels in the r.h.s. of the VEC
model equation, one might be lead to think that the impulse response
would be given in first differences. Am I correct in assuming that the
VEC is transformed to a VAR in levels (see eq. 27.1) prior to the
calculation of the IRF, though, so that the responses are in levels
also? (all of this is assuming that one puts the variables that enter
the model in levels in the GUI dialogue)
Thanks for your help and for writing such an amazing piece of software!
Stefan
4 years, 11 months

[Angrist-Newey test and Chamberlain test]
by JOSE FRANCISCO PERLES RIBES

Dear list:
Following the first code-steps in Gretl provided by Professor Schreiber and
a SAS code provided by Professor Angrist (again, many thanks to both
Professors for your attention), I have performed a solution in R (sorry, at
the moment I'm more familiar with this language) to this issue.
The code is weird, but is written with the aim to show the step-by-step
process and check the intermediate results.
If someone is interested in this topic, the data and my code could be
downloaded from
https://github.com/Joseperles/Statistical-questions/tree/master/Baltagi/M...
Please, be sure that any error is mine. I would be grateful for
suggestions, improvements and corrections.
Thanks a lot for your attention and best regards
José Perles
University of Alicante
4 years, 12 months

Re: [Gretl-users] Fwd: Re: Your paper in JBES 1991
by Sven Schreiber

Hi,
please keep the discussion on the mailing list (I added it again here).
From what you describe it sounds as if, yes, gretl has all these tools.
But right now I don't have the time to implement this any further or to
do the bug-hunting. I already gave you something that was working as a
starting point. I'm afraid you're on your own for now. Or perhaps
somebody else on the list is interested.
good luck,
sven
Am 15.07.2015 um 08:25 schrieb JOSE FRANCISCO PERLES RIBES:
> Dear Professor:
>
> Sorry for disturb you with this issue, but I send this mail only to
> update the information and to do a small question.
>
> After my request, professor Angrist very kindly has send me some files
> with a SAS programme to calculate the Angrist-Newet (1991) test.
>
> In the pdf_III pages 2 and 3 there is a detailed procedure to get the X2
> statistic.
>
> I have seen the relevant steps as:
>
> 1).-Compute the variables in means deviation. (page 2)
> 2).-regress a fixed effect model using as "endogenous" variables the
> means deviation transformation and save the residuals. (page 3)
> 3).-regress the residuals for each time on lags and leads of all orginal
> variables (non-transformed) **computation 3sls statistics** (page 3)
>
>
> To estimate the fixed-effect model and the test statistics he uses a SAS
> procedure based on 3SLS estimation named "PROC SYSLIN SUR VARDEF=n"
>
> So, my question is: Gretl has this kind of system estimation? or its fe
> routine leads would lead to simmilar results (as I think)?
>
> Also, looking for the Angrist code, I think the script your provide me
> to calculate the X2 statistic was correct. But would you mind to see the
> Angrist code to see if I need to adjust some of the script? Because I
> found a problem with the number of parameters estimation.
>
> Many thanks for your attention and sorry for any inconvenience.
>
> José Perles
> University of Alicante.
>
4 years, 12 months

AR(3) calculation
by Raul Gimeno

First of all thank to all of you Sven, Riccardo and Ignacio
I could fix the problem.
Would it be possible to create a database with scripts so that people can
have access to fixed scripts which would be of great help for beginners.
Please find below the output of my simulation. It is not clear to me why I
get U = 0 for the first three observations (1-3). Below the script you'll
find my calculations done manually with different results. Attached the
Excel-file with my calculations.
Best regards
Raul
_______________________________________
# Defines length of time-series
? nulldata 20
periodicity: 1, maxobs: 20
observations range: 1 to 20
? setobs 1 1 --time-series
Full data range: 1 - 20 (n = 20)
# build stationary AR(3) error process for u ?
scalar rho1 = 0.5 Generated scalar rho1 = 0.5 ?
scalar rho2 = -0.3 Generated scalar rho2 = -0.3 ?
scalar rho3 = 0.2 Generated scalar rho3 = 0.2 ?
series u = 0 Generated series u (ID 2) ?
series e = normal() Generated series e (ID 3) ?
u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e Replaced series u (ID 2) ?
print u e
u:
Full data range: 1 - 20 (n = 20)
0.000000 0.000000 0.000000 0.736134 0.389876 0.0831032 1.27225
0.296186 0.153867 -0.603212 -1.03987 -0.125745 1.05383 1.36702
1.38835 1.15469 0.0756820 0.396671 -0.373264 -0.802060
e:
Full data range: 1 - 20 (n = 20)
-0.191291 1.79901 0.222606 0.736134 0.0218093 0.109005 1.20043
-0.392982 0.370828 -0.845739 -0.751339 0.182452 0.925386 1.01036
1.04614 0.659854 -0.358562 0.427566 -0.779833 -0.511563
_____________________________________________________________
My calculations
U e
t-3 0
t-2 0
t-1 0
0 -0.191291 -0.191291
t+1 1.7033645 1.79901
-----Urspr?ngliche Nachricht-----
Von: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von
gretl-users-request(a)lists.wfu.edu
Gesendet: Freitag, 10. Juli 2015 18:00
An: gretl-users(a)lists.wfu.edu
Betreff: Gretl-users Digest, Vol 102, Issue 3
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When replying, please edit your Subject line so it is more specific than
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Today's Topics:
1. generate AR (Raul Gimeno)
2. Re: generate AR (Sven Schreiber)
3. Re: generate AR (Riccardo (Jack) Lucchetti)
4. Re: generate AR (Ignacio Diaz-Emparanza)
----------------------------------------------------------------------
Message: 1
Date: Fri, 10 Jul 2015 09:46:51 +0200
From: "Raul Gimeno" <mrexito(a)vtxmail.ch>
To: <gretl-users(a)lists.wfu.edu>
Subject: [Gretl-users] generate AR
Message-ID: <003101d0bae4$95777c50$c06674f0$(a)vtxmail.ch>
Content-Type: text/plain; charset="us-ascii"
Hello
I would like to generate AR, MA and ARMA processes. Is there any function
available to do so?
Would it be possible to include in the GRETL guide a note on how to generate
simple time series? This could be of great help for beginners.
I've tried to generate an AR(3) with the following script which doesn't
work. Thank you for your help.
Raul
# seed
set seed 89675430
# Generate an AR(3) process
scalar rho1 = 0.5
scalar rho2 = -0.3
scalar rho3 = 0.2
loop 1000
# build stationary AR(3) error process for u
series u = 0
series e = normal()
u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
endloop
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Message: 2
Date: Fri, 10 Jul 2015 14:59:27 +0200
From: Sven Schreiber <svetosch(a)gmx.net>
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] generate AR
Message-ID: <559FC1AF.9050707(a)gmx.net>
Content-Type: text/plain; charset=windows-1252
Am 10.07.2015 um 09:46 schrieb Raul Gimeno:
> Hello
>
>
>
> I would like to generate AR, MA and ARMA processes. Is there any
> function available to do so?
There is 'varsimul' which you could use also univariate AR, but it's
probably not the best way for your problem. Apart from that, specifying the
data-generating process like you tried below is the right approach.
>
> Would it be possible to include in the GRETL guide a note on how to
> generate simple time series? This could be of great help for beginners.
>
> I?ve tried to generate an AR(3) with the following script which
> doesn?t work. Thank you for your help.
"doesn't work" is a typical but almost useless component of problem reports.
Please copy&paste the error message you're getting.
>
> # build stationary AR(3) error process for u
>
> series u = 0
>
> series e = normal()
>
> u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
>
This already looks quite good. Perhaps you don't have a dataset in place?
Again, report your error message.
-sven
------------------------------
Message: 3
Date: Fri, 10 Jul 2015 15:09:33 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] generate AR
Message-ID: <alpine.DEB.2.20.1507101509140.17956(a)ec-4.econ.univpm.it>
Content-Type: text/plain; charset="iso-8859-15"; Format="flowed"
On Fri, 10 Jul 2015, Raul Gimeno wrote:
> Hello
>
>
>
> I would like to generate AR, MA and ARMA processes. Is there any
> function available to do so?
>
> Would it be possible to include in the GRETL guide a note on how to
> generate simple time series? This could be of great help for beginners.
Section 16.2
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universit? Politecnica delle Marche
(formerly known as Universit? di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
------------------------------
Message: 4
Date: Fri, 10 Jul 2015 15:53:00 +0200
From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.eus>
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] generate AR
Message-ID: <559FCE3C.8080100(a)ehu.eus>
Content-Type: text/plain; charset=windows-1252; format=flowed
El 10/07/15 a las 09:46, Raul Gimeno escribi?:
>
> Hello
>
> I would like to generate AR, MA and ARMA processes. Is there any
> function available to do so?
>
> Would it be possible to include in the GRETL guide a note on how to
> generate simple time series? This could be of great help for beginners.
>
> I?ve tried to generate an AR(3) with the following script which
> doesn?t work. Thank you for your help.
>
> Raul
>
For simulated data you need to inform gretl the length of your time series,
with the first command
'nulldata 200'
For example this reserves space for series with 200 obs.
It may be useful also to inform that you plan to generate "time series"
this may be done with the command 'setobs' in this way:
'setobs 1 1 --time-series'
the first number is the seasonal periodicity (1 if you are making simulated
data) the second one determines which is the first observation. The
parameter --time-series makes posiible to use some gretl features specific
for time series.
Your script with these two commands works here.
> # seed
>
> set seed 89675430
>
> # Generate an AR(3) process
>
> scalar rho1 = 0.5
>
> scalar rho2 = -0.3
>
> scalar rho3 = 0.2
>
> loop 1000
>
> # build stationary AR(3) error process for u
>
> series u = 0
>
> series e = normal()
>
> u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
>
> endloop
>
>
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
--
Ignacio D?az-Emparanza
Departamento de Econom?a Aplicada III (Econometr?a y Estad?stica)
Universidad del Pa?s Vasco - Euskalherriko Unibertsitatea, UPV/EHU
Tfno: (+34) 94 601 3732
http://www.ehu.eus/ea3
------------------------------
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
End of Gretl-users Digest, Vol 102, Issue 3
*******************************************
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Message: 2
Date: Sat, 11 Jul 2015 11:00:52 +0200
From: Sven Schreiber <svetosch(a)gmx.net>
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] Gretl-users Digest, Vol 102, Issue 3
Message-ID: <55A0DB44.1040905(a)gmx.net>
Content-Type: text/plain; charset=windows-1252
Am 11.07.2015 um 10:10 schrieb Raul Gimeno:
> First of all thank to all of you Sven, Riccardo and Ignacio
>
> I could fix the problem.
> Would it be possible to create a database with scripts so that people
> can have access to fixed scripts which would be of great help for
beginners.
Menu: File -> script files -> exercise files (or Castilian or Basque
translation thereof)
> Please find below the output of my simulation. It is not clear to me
> why I get U = 0 for the first three observations (1-3). Below the
> script you'll find my calculations done manually with different results.
only the numbering of the first 3 are different. Where do you expect gretl
to store the t-1/ t-2 / t-3 starting values if not at the beginning? Does
your excel sheet say "t-1" for the 3rd row or column?
(no, of course not)
cheers,
sven
------------------------------
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
End of Gretl-users Digest, Vol 102, Issue 4
*******************************************
5 years

Re: [Gretl-users] Gretl-users Digest, Vol 102, Issue 3
by Raul Gimeno

First of all thank to all of you Sven, Riccardo and Ignacio
I could fix the problem.
Would it be possible to create a database with scripts so that people can
have access to fixed scripts which would be of great help for beginners.
Please find below the output of my simulation. It is not clear to me why I
get U = 0 for the first three observations (1-3). Below the script you'll
find my calculations done manually with different results. Attached the
Excel-file with my calculations.
Best regards
Raul
_______________________________________
# Defines length of time-series
? nulldata 20
periodicity: 1, maxobs: 20
observations range: 1 to 20
? setobs 1 1 --time-series
Full data range: 1 - 20 (n = 20)
# build stationary AR(3) error process for u
? scalar rho1 = 0.5
Generated scalar rho1 = 0.5
? scalar rho2 = -0.3
Generated scalar rho2 = -0.3
? scalar rho3 = 0.2
Generated scalar rho3 = 0.2
? series u = 0
Generated series u (ID 2)
? series e = normal()
Generated series e (ID 3)
? u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
Replaced series u (ID 2)
? print u e
u:
Full data range: 1 - 20 (n = 20)
0.000000 0.000000 0.000000 0.736134 0.389876 0.0831032 1.27225
0.296186 0.153867 -0.603212 -1.03987 -0.125745 1.05383 1.36702
1.38835 1.15469 0.0756820 0.396671 -0.373264 -0.802060
e:
Full data range: 1 - 20 (n = 20)
-0.191291 1.79901 0.222606 0.736134 0.0218093 0.109005 1.20043
-0.392982 0.370828 -0.845739 -0.751339 0.182452 0.925386 1.01036
1.04614 0.659854 -0.358562 0.427566 -0.779833 -0.511563
_____________________________________________________________
My calculations
U e
t-3 0
t-2 0
t-1 0
0 -0.191291 -0.191291
t+1 1.7033645 1.79901
-----Ursprüngliche Nachricht-----
Von: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von
gretl-users-request(a)lists.wfu.edu
Gesendet: Freitag, 10. Juli 2015 18:00
An: gretl-users(a)lists.wfu.edu
Betreff: Gretl-users Digest, Vol 102, Issue 3
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
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. generate AR (Raul Gimeno)
2. Re: generate AR (Sven Schreiber)
3. Re: generate AR (Riccardo (Jack) Lucchetti)
4. Re: generate AR (Ignacio Diaz-Emparanza)
----------------------------------------------------------------------
Message: 1
Date: Fri, 10 Jul 2015 09:46:51 +0200
From: "Raul Gimeno" <mrexito(a)vtxmail.ch>
To: <gretl-users(a)lists.wfu.edu>
Subject: [Gretl-users] generate AR
Message-ID: <003101d0bae4$95777c50$c06674f0$(a)vtxmail.ch>
Content-Type: text/plain; charset="us-ascii"
Hello
I would like to generate AR, MA and ARMA processes. Is there any function
available to do so?
Would it be possible to include in the GRETL guide a note on how to generate
simple time series? This could be of great help for beginners.
I've tried to generate an AR(3) with the following script which doesn't
work. Thank you for your help.
Raul
# seed
set seed 89675430
# Generate an AR(3) process
scalar rho1 = 0.5
scalar rho2 = -0.3
scalar rho3 = 0.2
loop 1000
# build stationary AR(3) error process for u
series u = 0
series e = normal()
u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
endloop
-------------- next part --------------
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<http://lists.wfu.edu/pipermail/gretl-users/attachments/20150710/9b51a080/at
tachment-0001.html>
------------------------------
Message: 2
Date: Fri, 10 Jul 2015 14:59:27 +0200
From: Sven Schreiber <svetosch(a)gmx.net>
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] generate AR
Message-ID: <559FC1AF.9050707(a)gmx.net>
Content-Type: text/plain; charset=windows-1252
Am 10.07.2015 um 09:46 schrieb Raul Gimeno:
> Hello
>
>
>
> I would like to generate AR, MA and ARMA processes. Is there any
> function available to do so?
There is 'varsimul' which you could use also univariate AR, but it's
probably not the best way for your problem. Apart from that, specifying the
data-generating process like you tried below is the right approach.
>
> Would it be possible to include in the GRETL guide a note on how to
> generate simple time series? This could be of great help for beginners.
>
> I?ve tried to generate an AR(3) with the following script which
> doesn?t work. Thank you for your help.
"doesn't work" is a typical but almost useless component of problem reports.
Please copy&paste the error message you're getting.
>
> # build stationary AR(3) error process for u
>
> series u = 0
>
> series e = normal()
>
> u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
>
This already looks quite good. Perhaps you don't have a dataset in place?
Again, report your error message.
-sven
------------------------------
Message: 3
Date: Fri, 10 Jul 2015 15:09:33 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] generate AR
Message-ID: <alpine.DEB.2.20.1507101509140.17956(a)ec-4.econ.univpm.it>
Content-Type: text/plain; charset="iso-8859-15"; Format="flowed"
On Fri, 10 Jul 2015, Raul Gimeno wrote:
> Hello
>
>
>
> I would like to generate AR, MA and ARMA processes. Is there any
> function available to do so?
>
> Would it be possible to include in the GRETL guide a note on how to
> generate simple time series? This could be of great help for beginners.
Section 16.2
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universit? Politecnica delle Marche
(formerly known as Universit? di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
------------------------------
Message: 4
Date: Fri, 10 Jul 2015 15:53:00 +0200
From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.eus>
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] generate AR
Message-ID: <559FCE3C.8080100(a)ehu.eus>
Content-Type: text/plain; charset=windows-1252; format=flowed
El 10/07/15 a las 09:46, Raul Gimeno escribi?:
>
> Hello
>
> I would like to generate AR, MA and ARMA processes. Is there any
> function available to do so?
>
> Would it be possible to include in the GRETL guide a note on how to
> generate simple time series? This could be of great help for beginners.
>
> I?ve tried to generate an AR(3) with the following script which
> doesn?t work. Thank you for your help.
>
> Raul
>
For simulated data you need to inform gretl the length of your time series,
with the first command
'nulldata 200'
For example this reserves space for series with 200 obs.
It may be useful also to inform that you plan to generate "time series"
this may be done with the command 'setobs' in this way:
'setobs 1 1 --time-series'
the first number is the seasonal periodicity (1 if you are making simulated
data) the second one determines which is the first observation. The
parameter --time-series makes posiible to use some gretl features specific
for time series.
Your script with these two commands works here.
> # seed
>
> set seed 89675430
>
> # Generate an AR(3) process
>
> scalar rho1 = 0.5
>
> scalar rho2 = -0.3
>
> scalar rho3 = 0.2
>
> loop 1000
>
> # build stationary AR(3) error process for u
>
> series u = 0
>
> series e = normal()
>
> u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
>
> endloop
>
>
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
--
Ignacio D?az-Emparanza
Departamento de Econom?a Aplicada III (Econometr?a y Estad?stica)
Universidad del Pa?s Vasco - Euskalherriko Unibertsitatea, UPV/EHU
Tfno: (+34) 94 601 3732
http://www.ehu.eus/ea3
------------------------------
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End of Gretl-users Digest, Vol 102, Issue 3
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5 years

generate AR
by Raul Gimeno

Hello
I would like to generate AR, MA and ARMA processes. Is there any function
available to do so?
Would it be possible to include in the GRETL guide a note on how to generate
simple time series? This could be of great help for beginners.
I've tried to generate an AR(3) with the following script which doesn't
work. Thank you for your help.
Raul
# seed
set seed 89675430
# Generate an AR(3) process
scalar rho1 = 0.5
scalar rho2 = -0.3
scalar rho3 = 0.2
loop 1000
# build stationary AR(3) error process for u
series u = 0
series e = normal()
u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
endloop
5 years

Angrist-Newey or Chamberlain test
by JOSE FRANCISCO PERLES RIBES

Dear list:
I'm playing with some panel data analysis to do a little course on this
topic and I want to use Gretl for estimations. Following Baltagi
recommendations I want to test the fixed effect restrictions using
Chamberlain (1982) test or Angrist and Newey (1991). Baltagi explains that
these tests are few used in practice. In fact, I have not seen it
implemented in R or other software like Eviews or Stata. So, the question,
somebody has implemented some code to perform these tests?
Thanks in advance and sorry for any inconvenience.
José Perles
University of Alicante
5 years