April 2016 - Gretl-users - gretlml.univpm.it

by Javier García

Hello everybody, I am trying to perform the Hausman test within a instrumental variables context. Using the smoke.gdt data from the Wooldridge's book, I regress the variable called lincome on a constant, cigs, educ, age and agesq. In order to do this I apply "instrumental variables->2sls", providing one instrument (in particular the variable called restaurn) for cigs, a variable that we suspect that could be correlated with the perturbation. As it can be seen below, the asymptotic test statistic is 5.00976. However, if I do it manually (or using another program like Stata), that value is totally different, getting 2.76 aproximately (the square of the estimates differences, (0.00173057-(-0.0413845))^2, over the variances differences, 0.0260279^2-0.00171372^2). What am I doing wrong? It could be a Gretl bug? Thanks a lot in advance. Javi Model 1: OLS, using observations 1-807 Dependent variable: lincome coefficient std. error t-ratio p-value ----------------------------------------------------------- const 7.79544 0.170427 45.74 1.05e-225 *** cigs 0.00173057 0.00171372 1.010 0.3129 educ 0.0603605 0.00789834 7.642 6.10e-014 *** age 0.0576907 0.00764359 7.548 1.21e-013 *** agesq −0.000630589 8.33822e-05 −7.563 1.08e-013 *** Mean dependent var 9.687315 S.D. dependent var 0.712695 Sum squared resid 341.8539 S.E. of regression 0.652880 R-squared 0.164978 Adjusted R-squared 0.160813 F(4, 802) 39.61341 P-value(F) 2.68e-30 Log-likelihood −798.5010 Akaike criterion 1607.002 Schwarz criterion 1630.469 Hannan-Quinn 1616.013 Model 2: TSLS, using observations 1-807 Dependent variable: lincome Instrumented: cigs Instruments: const restaurn educ age agesq coefficient std. error z p-value --------------------------------------------------------- const 7.78114 0.228129 34.11 5.52e-255 *** cigs −0.0413845 0.0260279 −1.590 0.1118 educ 0.0400241 0.0161607 2.477 0.0133 ** age 0.0932076 0.0236787 3.936 8.27e-05 *** agesq −0.00104373 0.000272324 −3.833 0.0001 *** Mean dependent var 9.687315 S.D. dependent var 0.712695 Sum squared resid 611.6565 S.E. of regression 0.873306 R-squared 0.024886 Adjusted R-squared 0.020022 F(4, 802) 22.62942 P-value(F) 9.92e-18 Log-likelihood −7885.899 Akaike criterion 15781.80 Schwarz criterion 15805.26 Hannan-Quinn 15790.81 Log-likelihood for income = −8614.4 Hausman test - Null hypothesis: OLS estimates are consistent Asymptotic test statistic: Chi-square(1) = 5.00976 with p-value = 0.0252048 JAVIER GARCÍA Departamento de Economía Aplicada III (Econometría y Estadística) Facultad de Economía y Empresa (Sección Sarriko) Avda. Lehendakari Aguirre 83 48015 BILBAO T.: +34 601 7126 F.: +34 601 3754 <http://www.ehu.es/> www.ehu.es http://www.unibertsitate-hedakuntza.ehu.es/p268-content/es/contenidos/inf... ERNE! Baliteke mezu honen zatiren bat edo mezu osoa legez babestuta egotea. Mezuak badu bere hartzailea. Okerreko helbidera heldu bada (helbidea gaizki idatzi, transmisioak huts egin) eman abisu igorleari, korreo honi erantzunda. Kontuz! Mezua ez bada zuretzat, ez erabili, ez zabaldu beste inori, ez kopiatu eta ez baliatu. ¡ATENCIÓN! Este mensaje contiene información privilegiada o confidencial a la que sólo tiene derecho a acceder el destinatario. Si usted lo recibe por error le agradeceríamos que no hiciera uso de la información y que se pusiese en contacto con el remitente. http://www.unibertsitate-hedakuntza.ehu.es/p077-9030/es/contenidos/inform... E-mail hau inprimatu baino lehen egiaztatu inprimatzeko beharra. Antes de imprimir este e-mail piense bien si es necesario hacerlo.

9 years, 1 month

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Re: [Gretl-users] Gretl-users Digest, Vol 111, Issue 13 Hausman Test in IV estimation

by Alecos Papadopoulos

Re: Gretl-users Digest, Vol 111, Issue 13 Hausman Test in IV estimation Gretl uses a regression-based method to calculate the Hausman Statistic. If we want to use the matrix-expression for the test statistic, two vcv matrices are involved. For each a /different error variance estimate is used. /So one has to decide whether he will use the difference error variance estimate or a common one. I executed the test using the matrix form and the OLS error variance estimate for both vcv matrices: I obtain Statistic = 4.9480036 which is pretty close to what Gretl gives (as it should) Then I executed the test using the matrix form , but for the vcv from the IV estimation I used the error variance estimate obtained from the IV regression : et voila! I got Statistic = 2.7559288 So it is not a bug, but a choice that has to be made. Alecos Papadopoulos PhD Candidate Athens University of Economics and Business, Greece School of Economic Sciences Department of Economics https://alecospapadopoulos.wordpress.com/ On 13/4/2016 03:37, gretl-users-request(a)lists.wfu.edu wrote: > 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. Instrumental variables and Hausman test (Javier Garc?a) > > > ---------------------------------------------------------------------- > > Message: 1 > Date: Wed, 13 Apr 2016 02:28:36 +0200 > From: Javier Garc?a <javier.garcia(a)ehu.eus> > To: <gretl-users(a)lists.wfu.edu> > Subject: [Gretl-users] Instrumental variables and Hausman test > Message-ID: > <570d92ba.e567c20a.767b.fffffbe5SMTPIN_ADDED_BROKEN(a)mx.google.com> > Content-Type: text/plain; charset="utf-8" > > Hello everybody, > > I am trying to perform the Hausman test within a instrumental variables context. Using the smoke.gdt data from the Wooldridge's book, I regress the variable called lincome on a constant, cigs, educ, age and agesq. In order to do this I apply "instrumental variables->2sls", providing one instrument (in particular the variable called restaurn) for cigs, a variable that we suspect that could be correlated with the perturbation. As it can be seen below, the asymptotic test statistic is 5.00976. However, if I do it manually (or using another program like Stata), that value is totally different, getting 2.76 aproximately (the square of the estimates differences, (0.00173057-(-0.0413845))^2, over the variances differences, 0.0260279^2-0.00171372^2). What am I doing wrong? It could be a Gretl bug? > > Thanks a lot in advance. > > Javi > > Model 1: OLS, using observations 1-807 > Dependent variable: lincome > > coefficient std. error t-ratio p-value > ----------------------------------------------------------- > const 7.79544 0.170427 45.74 1.05e-225 *** > cigs 0.00173057 0.00171372 1.010 0.3129 > educ 0.0603605 0.00789834 7.642 6.10e-014 *** > age 0.0576907 0.00764359 7.548 1.21e-013 *** > agesq ?0.000630589 8.33822e-05 ?7.563 1.08e-013 *** > > Mean dependent var 9.687315 S.D. dependent var 0.712695 > Sum squared resid 341.8539 S.E. of regression 0.652880 > R-squared 0.164978 Adjusted R-squared 0.160813 > F(4, 802) 39.61341 P-value(F) 2.68e-30 > Log-likelihood ?798.5010 Akaike criterion 1607.002 > Schwarz criterion 1630.469 Hannan-Quinn 1616.013 > > > > Model 2: TSLS, using observations 1-807 > Dependent variable: lincome > Instrumented: cigs > Instruments: const restaurn educ age agesq > > coefficient std. error z p-value > --------------------------------------------------------- > const 7.78114 0.228129 34.11 5.52e-255 *** > cigs ?0.0413845 0.0260279 ?1.590 0.1118 > educ 0.0400241 0.0161607 2.477 0.0133 ** > age 0.0932076 0.0236787 3.936 8.27e-05 *** > agesq ?0.00104373 0.000272324 ?3.833 0.0001 *** > > Mean dependent var 9.687315 S.D. dependent var 0.712695 > Sum squared resid 611.6565 S.E. of regression 0.873306 > R-squared 0.024886 Adjusted R-squared 0.020022 > F(4, 802) 22.62942 P-value(F) 9.92e-18 > Log-likelihood ?7885.899 Akaike criterion 15781.80 > Schwarz criterion 15805.26 Hannan-Quinn 15790.81 > > Log-likelihood for income = ?8614.4 > > Hausman test - > Null hypothesis: OLS estimates are consistent > Asymptotic test statistic: Chi-square(1) = 5.00976 > with p-value = 0.0252048 > > > > > > > > > JAVIER GARC?A > > > > Departamento de Econom?a Aplicada III (Econometr?a y Estad?stica) > > Facultad de Econom?a y Empresa (Secci?n Sarriko) > Avda. Lehendakari Aguirre 83 > > 48015 BILBAO > T.: +34 601 7126 F.: +34 601 3754 > <http://www.ehu.es/> www.ehu.es > > http://www.unibertsitate-hedakuntza.ehu.es/p268-content/es/contenidos/inf... > > > ERNE! Baliteke mezu honen zatiren bat edo mezu osoa legez babestuta egotea. Mezuak badu bere hartzailea. Okerreko helbidera heldu bada (helbidea gaizki idatzi, transmisioak huts egin) eman abisu igorleari, korreo honi erantzunda. Kontuz! Mezua ez bada zuretzat, ez erabili, ez zabaldu beste inori, ez kopiatu eta ez baliatu. > ?ATENCI?N! Este mensaje contiene informaci?n privilegiada o confidencial a la que s?lo tiene derecho a acceder el destinatario. Si usted lo recibe por error le agradecer?amos que no hiciera uso de la informaci?n y que se pusiese en contacto con el remitente. > > > http://www.unibertsitate-hedakuntza.ehu.es/p077-9030/es/contenidos/inform... > > E-mail hau inprimatu baino lehen egiaztatu inprimatzeko beharra. > Antes de imprimir este e-mail piense bien si es necesario hacerlo. > > > > > > -------------- next part -------------- > An HTML attachment was scrubbed... > URL: <http://lists.wfu.edu/pipermail/gretl-users/attachments/20160413/dafb1fa0/...> > -------------- next part -------------- > A non-text attachment was scrubbed... > Name: image001.gif > Type: image/gif > Size: 6359 bytes > Desc: not available > URL: <http://lists.wfu.edu/pipermail/gretl-users/attachments/20160413/dafb1fa0/...> > -------------- next part -------------- > A non-text attachment was scrubbed... > Name: image002.gif > Type: image/gif > Size: 225 bytes > Desc: not available > URL: <http://lists.wfu.edu/pipermail/gretl-users/attachments/20160413/dafb1fa0/...> > > ------------------------------ > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > End of Gretl-users Digest, Vol 111, Issue 13 > ******************************************** >

9 years, 1 month

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Re: [Gretl-users] Connectivity with R

by George Matysiak

Allin, Not sure if this applies to Gretl 2016b, which I'm running, but Gretl crashes in non-interactive mode when I run the A matrix script, but runs fine in interactive. George

9 years, 1 month

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Re: [Gretl-users] Connectivity with R

by Allin Cottrell

On Sun, 10 Apr 2016, juergen.malitte(a)t-online.de wrote: > Hi Allin, > > in the programs tab I see: > > Befehl zum Starten von GNU R : C:\Program Files (x86)\R-3.2.4revised\bin\x64\Rgui.exe > and > Path to R.exe: C:\Program Files (x86)\R-3.2.4revised\bin\R.exe > > I controlled the content of the folder and in the bin-directory > there exist Rgui.exe and R.exe (Rgui does work !) > > The version of Gretl is: 2016a for MSWindows(x86_64) > The version of R: 3.2.4 Revised (2016-03-16r70336) > > Kind regards Jürgen Thanks, Jürgen, I see what you mean (having now tested on Windows, not my "native" platform!). For the present, if you want to have R execute a script non-interactively via gretl, a work-around is to wrap the R script in a gretl "foreign" block. However, non-interactive mode ought to work in the context you described (editing an R script in gretl). This has somehow got broken, due to a combination of changes on the gretl side and changes on the R side. It'll be fixed for gretl 2016b, which will be released in the next day or two. Allin Cottrell

9 years, 1 month

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Feature Request: Bean-Plot

by Schaff, Frederik

Hello everybody, last year Riccardo Lucchetti helped me with a makeshift violin plot implementation (see below, where I copied the specific info). After making a lot of graphical analysis for my PhD I pondered more and more about the "deficit" of boxplots and in that case violin plots, too, in properly representing multi-modal, skewed, etc., distributions. After a bit of research I found that bean-plots might be a very good alternative. There is a (good?) implementation for R. I was wandering, if it was possible to provide a similar functionality for GRETL and - if possible - based on gnuplot, as this allows easy fine-tuning if necessary (by saving as .gp or even passing literals via hansl). Here is a good post on bean-plots and R: http://www.r-bloggers.com/boxplots-beyond-iv-beanplots/ And some starter for gnuplot: http://stackoverflow.com/questions/19260578/anyone-have-a-way-to-plot-a-b... (The option to have three factorsiations by "halfing" the beans in the example is especially nice, too.) - Frederik ------------ Frederik Schaff, Dipl.-Volkswirt University of Hagen Department of Business and Economics Chair of Economic Theory (Prof. A. Endres) Universitätsstraße 11 (TGZ) 58097 Hagen Phone: +49 (0) 2331 987-4454 E-Mail: Frederik.Schaff(a)FernUni-Hagen.de http://www.fernuni-hagen.de/wirtschaftstheorie/en/team/frederik.schaff.shtml -----Ursprüngliche Nachricht----- Von: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von Riccardo (Jack) Lucchetti Gesendet: Mittwoch, 21. Oktober 2015 15:06 An: Gretl list Betreff: Re: [Gretl-users] --output="Icon"?, violin-plot option (request) On Wed, 21 Oct 2015, Schaff, Frederik wrote: > And a feature request (if I may): It would be "nice to have" a violin > plot option for the boxplots, like the last one from > http://gnuplot.sourceforge.net/demo_cvs/violinplot.html. The script below could be perhaps useful as a starting point for a nice function package (hint, hint) <hansl> open mroz87 series lwage = ln(WW) series lage = ln(WA) k1 = kdensity(lwage) x1 = k1[,2] y1 = k1[,1] a1 = (NA ~ y1) | (y1 ~ NA) k2 = kdensity(lage) x2 = k2[,2] y2 = k2[,1] a2 = (NA ~ y2) | (y2 ~ NA) c = mshape(NA, rows(a1) + rows(a2), 4) c[1:rows(a1),1:2] = a1 c[rows(a1)+1:,3:] = a2 c2 = (x1 | -x1) | (3 .+ (x2 | -x2)) c = c ~ c2 plot c option with-lines literal unset key literal set linetype 1 lc rgb "#000000" literal set linetype 2 lc rgb "#000000" literal set linetype 3 lc rgb "#ff0000" literal set linetype 4 lc rgb "#ff0000" literal unset xzeroaxis end plot --output=display </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------

9 years, 1 month

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Mixed Data Sampling Regression

by Jan Tille

Dear list members, please allow me a short question. Does anyone know whether there is a function package for Gretl that can perform MIDAS regression analysis, in the spirit of Eric Ghysels's Matlab toolbox or as provided in EViews 9.5? Thanks in advance and kind regards Jan

9 years, 2 months

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Connectivity with R

by juergen.malitte＠t-online.de

Hello, I have installed the actual version of Gretl and R on my PC (Windows 10). The problem is: When I try to establish a connection to R out of Gretl's R-Script-Editor, I will be asked for the "R-Modus" ("not interactive" or "Interactive R-Session"). Choosing "Interaktive R-Sitzung" <-> "Interactive R-Session" all works fine :-)) An instance of the R-console will be started. And I can going on doing my work in R. But choosing "not interactive" Gretl crashes. R gives no response and Gretl don't work anymore. I hope my description is helpfull. Greetings Jürgen Malitte

9 years, 2 months

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dummy gretl to R question: data as .R

by Sven Schreiber

Hi, I've saved data like this: store somedata.R --gnu-R But it doesn't seem to be a R dataframe format. How do I load it into R? Like I would with a simple text file? But then what's the special R format here? Thanks, sven

9 years, 2 months

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Feature request: $test and $pvalue for correlation

by Henrique Andrade

Dear Gretl Team, Is it possible to allow the accessors $test and $pvalue after the correlation (corr) command? It is important to me because I'm developing some programs that tries to automatically choose regressors. Best, Henrique Andrade

9 years, 2 months

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Clustered histogram

by Artur T.

Dear gretl users, I know that this is actually a gnuplot-issue but I thought that some of may also be interested in it and I somebody else could help me with this. I would like to generate a clustered histogram in the same vein as the 2nd one here: http://gnuplot.sourceforge.net/demo_svg_5.0/histograms.html using gnuplot version 5. However, my example function below doesn't produce the graph I need, as only the first column (first bar) is plotted but not the 2nd one. I already spent a while on this but couldn't find the error. <hansl> clear set echo off set messages off set seed 1234 function void plotty (matrix mat, string fname) string path = "barclust.gp" sprintf tmpfile "@dotdir/@path" outfile @tmpfile --write printf "set encoding utf8 \n" printf "set auto x \n" printf "set style data histogram \n" printf "set style histogram cluster gap 1 \n" printf "set style fill solid border -1 \n" printf "set boxwidth 0.9 \n" printf "plot '-' using 2:xtic(1), '' using 3\n" loop i=1..rows(mat) -q loop j=1..cols(mat) -q if mat[i,j]<0 || mat[i,j]>=0 printf "%.6f", mat[i,j] else printf "NaN" endif if j<cols(mat) printf " " endif endloop printf "\n" endloop printf "e \n" outfile --close gnuplot --input="@tmpfile" --output="@fname" end function matrix mat = seq(1,5)'~mnormal(5,2) string fname = "@dotdir/check.pdf" plotty(mat, fname) </hansl> Best, Artur

9 years, 2 months

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Gretl-users April 2016