October 2018 - Gretl-users - gretlml.univpm.it

by Sven Schreiber

Hi, by coincidence I've just noticed that the Latex package 'listings' has support for the hansl language already built in. And the file lstdrvrs.pdf from somewhere on the web tells me that this is thanks to Ignacio! This is great. However, it says there (c) 2013, so I'm wondering whether this could use some update? For example, the genr aliases 'matrix', 'scalar' etc. do not appear in the list there. ('listings' was just updated last month after several years, however, so it might take a while to permeate to the public...) Ignacio, if you read this, do you have any hints on how to get changes into the listings package? thanks, sven

6 years, 3 months

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Estimating Toda Yamamoto Causality Model

by Yusuf Abduwahab Hassan

Good morning day all, Please how do i estimate the Augmented VAR (p+dmax) model proposed by Toda Yamamoto 1995? If i estimate a VAR model in levels using the Vector Autoregression menu, can i add extra lags and interpret my results as using the Toda Yamamoto approach to causality testing? -- *Yusuf Abdulwahab Hassan.Department of Economics and Development Studies.Federal University of Kashere,Gombe.+234 8036830166.yabdulwahab(a)fukashere.edu.ng <yabdulwahab(a)fukashere.edu.ng>*

6 years, 3 months

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Removal of 'sepstr2arr' function in the 'extra' addon

by Sven Schreiber

Hi, if anybody has used the 'sepstr2arr' function in the 'extra' addon (which used to be a regular function package until recently, and from the point of view of the user the difference is not very relevant): This function is going to be removed from 'extra' very soon. The reason is that in 2018a the built-in strsplit function was extended to cover that functionality, as noted in the changelog: "strsplit() function: add optional third argument to choose the separator on which to split strings" So for standard usage, you just have to directly replace 'sepstr2arr' with 'strsplit' in your code. However, there is a subtle change that might affect some corner cases, and for completeness here's an explanation of how to deal with that. The difference is that sepstr2arr only used the first character of the separation string argument, so if you passed a double comma (",,") only a single comma was actually taken. In contrast, the built-in strsplit honors your more complex separator string. See the following examples to help achieve what you want in these (not very common) cases: <hansl> include extra.gfn string s = "hey,,ho,let's,go" string sep = ",," # old sepstr2arr: # merges ",," to a single separator eval sepstr2arr(s, sep) # gives 4 elements # case where direct substitution does not work: eval strsplit(s, sep) # splits on ",," - gives 2 elements # Get (almost) the behavior from sepstr2arr with strsplit: eval strsplit(s, sep[1]) # splits on "," - gives 5 elements (one empty) # Get (exactly) the behavior from sepstr2arr with strsplit: # uses the fact that multiple whitespace characters are merged eval strsplit(strsub(s, sep[1], " ")) # gives 4 elements </hansl> But again, I guess in 95% of the cases you just replace sepstr2arr with strsplit and you're done. Thanks, Sven

6 years, 3 months

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Re: [Gretl-users] reference to a package

by Stefano

these links are far too long to be used as a reference in a paper. How about something like "the test xx has been carried out using the StrucBreak package (or function? not sure) for the free econometric program Gretl (http://gretl.sourceforge.net/)"? bye Stefano > The test is not ours, it is just an implementation. So use Bai and > Perron (2003) as the main reference. It is nice that you want to > acknowledge our package, and of course you could do that in addition. > However I'm not sure about the correct way to do that, because it is not > a paper. Perhaps the web page listing the function packages could be > used: http://ricardo.ecn.wfu.edu/gretl/cgi-bin/gretldata.cgi?opt=SHOW_FUNCS > Or the direct link to the package documentation: > http://ricardo.ecn.wfu.edu/gretl/cgi-bin/current_fnfiles/unzipped/StrucBr... > OTOH that link may not be stable over time. > > -- ________________________________________________________________________ Stefano Fachin Professore Ordinario di Statistica Economica Dip. di Scienze Statistiche "Sapienza" Università di Roma P.le A. Moro 5 - 00185 Roma - Italia Tel. +39-06-49910834 fax +39-06-49910072 web http://stefanofachin.site.uniroma1.it/

6 years, 3 months

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interpreting the “StrucBreak” package for gretl

by Yusuf Abduwahab Hassan

Good day all. I am trying to learn the StrucBreak package. can some one please point me to how to interpret the results below. I tried to follow the sample script in the package using the PDF guide to the StrucBreak package. gretl version 2018c Current session: 2018-10-14 09:33 ? include StrucBreak.gfn StrucBreak 0.21, 2018-01-09 (Riccardo "Jack" Lucchetti and Sven Schreiber) ? open wp.gdt Read datafile C:\Users\HP\Documents\gretl\wp.gdt periodicity: 1, maxobs: 44 observations range: 1971 to 2014 Listing 6 variables: 0) const 1) Nigeria 2) Ghana 3) Togo 4) Senegal 5) Benin ? list Z = const Nigeria(-1) ? list X = null ? bundle bII = SB_Setup(Nigeria,Z,X,3) SB_Setup: OK! ? bII.nh = 8 # dustance between breaks ? strings opts = defarray("HetdatYes", "HetvarYes", "HetomegaNo", "HetqNo") ? SB_SetOptions(&bII, opts) ? SB_Global(&bII) =================================================================== Options are now: =================================================================== Robust S.E.: OFF Warning: inappropriate if lagged dependent variables are included as regressors Hetdat: ON Hetvar: ON, Hetomega: OFF, Hetq: OFF beta : Nonfixed Eps = 0.000 Eps1 = 0.100 Max. breaks = 3 Min. distance between breaks = 8 =================================================================== OUTPUT FROM THE GLOBAL OPTIMIZATION STAGE =================================================================== Breaks SSR Dates 1 4117.47615 30 (2001) 2 3394.26266 10 (1981), 30 (2001) 3 3108.58184 10 (1981), 22 (1993), 30 (2001) =================================================================== OUTPUT FROM THE APPLICATION OF INFORMATION CRITERIA =================================================================== tmp (4 x 3) Breaks BIC lwz 0.0000 4.8725 4.9201 1.0000 4.8242 5.0223 2.0000 4.8935 5.2483 3.0000 5.0679 5.5869 The number of breaks chosen by BIC is : 1 The number of breaks chosen by LWZ is : 0 ? SB_Tests(&bII) =================================================================== OUTPUT FROM THE TESTING PROCEDURES =================================================================== a) supF tests against a fixed number of breaks -------------------------------------------------------- supF(1|0) supF(2|0) supF(3|0) 11.432 11.189 10.897 Critical values: supF(1|0) supF(2|0) supF(3|0) 10% 10.37 9.43 8.48 5% 12.25 10.58 9.29 2.5% 13.86 11.63 10.14 1% 16.19 12.90 11.12 -------------------------------------------------------- b) Dmax tests against an unknown number of breaks -------------------------------------------------------- UDmax test: 11.431741 Crit. values: 10%: 10.86 5%: 12.59 2.5%: 14.15 1%: 16.19 ........................................................ WDmax test (crit. val.) 10% 13.33 11.71 5% 14.37 13.66 2.5% 14.90 15.33 1% 15.87 17.80 ******************************************************** supF(l+1|l) tests using global optimizers under the null -------------------------------------------------------- supF(2|1) 10.93 1981 supF(3|2) 10.70 1993 -------------------------------------------------------- Critical values: 10% 5% 2.5% 1% supF(2|1) 12.19 13.83 15.51 17.58 supF(3|2) 13.20 14.73 16.55 18.31 # eval bII.BreakDates ? SB_Estimate(&bII,"FIX",2) =================================================================== OUTPUT FROM ESTIMATION OF THE MODEL WITH 2 BREAKS (fixed) =================================================================== ? SB_PrintEstimates(&bII) Dependent variable: Nigeria ---------------------------------------------------------------- Subsample 1: 1972 - 1981 coefficient std. error z p-value ------------------------------------------------------- const 15.0822 7.86913 1.917 0.0553 * Nigeria_1 0.729122 0.159461 4.572 4.82e-06 *** Subsample 2: 1982 - 2001 coefficient std. error z p-value ------------------------------------------------------- const 53.0242 12.7994 4.143 3.43e-05 *** Nigeria_1 0.379843 0.151844 2.502 0.0124 ** Subsample 3: 2002 - 2014 coefficient std. error z p-value ------------------------------------------------------ const 61.0134 18.9376 3.222 0.0013 *** Nigeria_1 0.552676 0.149888 3.687 0.0002 *** -------------------------------------------------------------- Confidence intervals for the break dates -------------------------------------------------------------- The 95% C.I. for the 1th break is: 1976 - 1986 The 90% C.I. for the 1th break is: 1977 - 1985 The 95% C.I. for the 2th break is: 1999 - 2003 The 90% C.I. for the 2th break is: 1999 - 2003 ******************************************************** -- *Yusuf Abdulwahab Hassan.Department of Economics and Development Studies.Federal University of Kashere,Gombe.+234 8036830166.yabdulwahab(a)fukashere.edu.ng <yabdulwahab(a)fukashere.edu.ng>*

6 years, 3 months

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Function to get the powerset

by Henrique Andrade

Dear Gretl Community, I really stuck trying to define a function that gives a power set of a set. Suppose I have a set S: S = {"A", "B", "C"} The associated power set, P(S), is: P(S) = {{ }, {"A"}, {"B"}, {"C"}, {"A", "B"}, {"A", "C"}, {"B", "C"}, {"A", "B", "C"}} All that I can think by now (shame on me!) is this: strings S = defarray("A", "B", "C") scalar P_S_len = 2^nelem(S) # the size of the power set strings P_S = array(P_S_len) # an array with 8 spaces. Does anyone have any ideas? Best, Henrique Andrade

6 years, 3 months

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Delete several series

by Filipe Rodrigues da Costa

Hi all, I'm trying to delete several series with a loop like this: <gretl> loop i=1 ..100 if sum(ok(series$i)) < 20 delete series$i endif endloop </gretl> Let's say I have series1, series2, ...,series100. I want to delete all series with less than 20 observations. But, Gretl doesn't allow this kind of massive deletion. Any ideas on how can I check over several series and delete those whic don't fit the criteria? Many thanks in advance -- Filipe Rodrigues da Costa

6 years, 3 months

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how to use gretl library in mql4 programming

by Yashar Safarzadeh

Dear all I want to use gretl library functions in mql4 programming mql4 can import .mqh or .dll file using following codes.I don't have much knowledge to convert the files, and decided to ask here to send me gretl dll library files. Sincerely yours Yashar Importing Functions of dll files (#import) #import "file_name" func1 define; func2 define; ... funcN define; #import Including Files of mqh or ex4 filess (#include) #include <file_name> #include "file_name"

6 years, 3 months

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(no subject)

by Yusuf Abduwahab Hassan

yabdulwahab(a)fukashere.edu.ng -- *Yusuf Abdulwahab Hassan.Department of Economics and Development Studies.Federal University of Kashere,Gombe.+234 8036830166.yabdulwahab(a)fukashere.edu.ng <yabdulwahab(a)fukashere.edu.ng>*

6 years, 3 months

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The RVNR (rank von-Neumann ratio) package

by Sven Schreiber

Dear fellow gretl users, does anybody use the contributed function package "RVNR" (description: Rank Von Neumann Ratio) ? This is a non-parametric test for autocorrelation. It has some (minor) problems and I cannot reach the author Guillermo Verduzco Bustos, guillermo.verduzco(a)alumnos.cide.edu. If it really is abandoned, would anybody like to become the new package maintainer? It has only 55 lines of code, probably less after some streamlining. Thanks, Sven (one of the moderators / coordinators of the contributed packages)

6 years, 3 months

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Gretl-users October 2018