Network Field Technician
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Read More: https://www.fieldengineer.com/skills/network-field-technician
1 year, 11 months
Re: Kalman and MLE issue
by Alecos Papadopoulos
Good afternoon.
I am trying to estimate the parameters of a model that also has latent
state variables, using the Kalman filter and maximum likelihood.
After setting up the filter, which I run and it appears to work fine on
its own (i.e treating the parameters fixed to their initial values), I
follow the example script in p. 313 of User's guide, where the mle
command line is
mle logl = ERR ? NA : kb.llt (where "kb" is the name of the Kalman
bundle)
and inside the mle command we see
ERR = kfilter(&kb)
I wrote the same syntax but using "ksmooth" instead of "kfilter".
I get the message
<<
"llt": no such item
The formula 'logl = ERR ? NA : kb.llt'
produced an error on execution
>>
I tried also to embed the lot into a function, as the example script
does, but I continued to get the same error message.
Any ideas?
--
Alecos Papadopoulos PhD
Athens University of Economics and Business
web: alecospapadopoulos.wordpress.com/
skype:alecos.papadopoulos
3 years, 8 months
Workaround for packages missing from menus in 2019d (multivariate time series)
by Sven Schreiber
Hello to all gretl users working with contributed function packages
about multiple time series!
It turns out there is a small incompatibility of the new gretl 2019d
with some packages which prevents them to show up in the multivariate
time series submenu. The underlying reason is a small menu reorganization.
(This affects the packages DFM, johansensmall, SVEC_GUI, vecmI2, and
coint2rec.)
Scripting usage is not affected and should work normally. As a
workaround for menu-driven / GUI usage, a package's main dialog window
can also be launched from the list of installed packages. (Click on the
"fx" button in the toolbar at the bottom of the main gretl window. Then
right-click on the respective package name and choose execute or run.)
Sorry for the inconvenience. The issue will be automatically fixed in
the next gretl version (2020a).
Happy new year's eve!
sven
3 years, 9 months
mread & mwrite
by Stefano Fachin
thanks Allin!
Merry Christamas and Happy 2020 to everybody on this list, with special
mention for all the developers working hard ofr our benefit :-)
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/
--
________________________________________________________
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3 years, 9 months
mwrite/mread round-trip bug
by Allin Cottrell
Here's a follow up to Stefano's comments on mread() and mwrite(),
for which, thanks!
Executive summary: round-tripping (writing a matrix to file using
mwrite then reading it back via mread) works correctly if you use any
of the "standard" filename extensions: ".mat" for a plain file, ".gz"
for gzip-compressed, or ".bin" for binary.
However a bug was introduced in gretl 2019b (and remained in 2019c,
though it's now fixed in git), meaning that the round-trip would not
work correctly for a matrix file given a ".txt" or ".csv" extension.
That's because:
(a) we thought it would be useful to make mread work for "generic"
delimited-text files, not conforming to gretl's specific format (in
which the number of rows and columns are given in a header line,
separated by a tab character), and
(b) we switched to this alternative reading mode when given a ".csv"
or ".txt" file, but
(c) we did _not_ change the behavior of mwrite depending on the
filename extension.
Therefore, if you did something like
matrix m = mnormal(30,3)
mwrite(m, "mymatrix.csv")
matrix check = mread("mywrite.csv")
you'd get a mess-up: gretl would write an own-format matrix file but
then try to read it back in the alternative CSV mode.
Here's what is now in git, and will be in 2019d (see the help text for
these functions for details):
* We treat ".csv" specially on both reading and writing, so
round-tripping will work OK.
* We no longer treat ".txt" specially at either end.
There's also some remedial code in place for mread, to detect
previously written ".csv" files that are in fact own-format gretl
matrix files.
Allin
3 years, 9 months
mwrite & mread
by Stefano
just updated to current snapshot so I will never know if this would have
made a difference - btw, the current documentation does not mention this...
thanks and happy new year!
Stefano
> Please try using the ".mat" extension for native gretl matrix files.
> If you use ".txt" or ".csv" gretl can get confused over whether it
> should be looking for a leader line holding number of rows and
> number of columns, or just dive into reading matrix elements.
>
> Originally the filename extension didn't matter; mread() always
> expected the leader line. But in 2019b this changed: ".txt" and
> ".csv" now suggest to mread() that there's no leader line -- so not
> a native gretl matrix file. The intent here was to allow more
> flexibility in reading third-party files.
>
--
________________________________________________________
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stato ricevuto per errore, si prega di restituirlo al mittente e di
cancellarlo permanentemente dal proprio computer.
The information
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3 years, 9 months
mwrite & mread
by Stefano
It looks like it is a local problem. I just tested the minimal working
example
<hansl>
x = ones(nrows,2)
mwrite(x,"test.txt")
xx=mread("test.txt")
mwrite(x,"test.csv")
xx=mread("test.csv")
<\hansl>
with interesting results in successive execution in the same session:
* nrows=2: "Data error";
* nrows=1: ok (no file editing, contrary to my previous posts);
* nrows=2 again: ok
so I guess there are problems with memory management. I will upgrade to
the current version and see what happens. Good to keep in mind that this
sort of things may happen,
bye
Stefano
--
________________________________________________________________________
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/
--
________________________________________________________
Le informazioni
contenute in questo messaggio di posta elettronica sono strettamente
riservate e indirizzate esclusivamente al destinatario. Si prega di non
leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non
si è il legittimo destinatario dello stesso. Qualora tale messaggio sia
stato ricevuto per errore, si prega di restituirlo al mittente e di
cancellarlo permanentemente dal proprio computer.
The information
contained in this e mail message is strictly confidential and intended for
the use of the addressee only. If you are not the intended recipient,
please do not read, copy, forward or store it on your computer. If you have
received the message in error, please forward it back to the sender and
delete it permanently from your computer system.
3 years, 9 months
mwrite & mread
by Stefano Fachin
dear all,
I run into a weird problem with the functions mwrite and mread (Gretl
2019b; ok, I am six month behind... yet I bet there are thousand of
users out there with even older versions, so the post could be of some
interest). Mwrite creates csv and txt files with matrix dimensions in
row 1 which mread refuses to read, producing a "Data error" message.
Even more puzzling, deleting row 1 fixes the problem for files including
matrices with at least two rows but not for row vectors.
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/
--
________________________________________________________
Le informazioni
contenute in questo messaggio di posta elettronica sono strettamente
riservate e indirizzate esclusivamente al destinatario. Si prega di non
leggere, fare copia, inoltrare a terzi o conservare tale messaggio se non
si è il legittimo destinatario dello stesso. Qualora tale messaggio sia
stato ricevuto per errore, si prega di restituirlo al mittente e di
cancellarlo permanentemente dal proprio computer.
The information
contained in this e mail message is strictly confidential and intended for
the use of the addressee only. If you are not the intended recipient,
please do not read, copy, forward or store it on your computer. If you have
received the message in error, please forward it back to the sender and
delete it permanently from your computer system.
3 years, 9 months
ARMAX
by bjr.newmail＠gmail.com
Trying to figure out the projection/fitted equation for a GRETL ARMAX estimation with an AR(2) Lag (with complex roots) using the ML estimator
An example below
const 5.73988 0.0368359 155.8 0.0000 ***
phi_1 0.439231 0.183336 2.396 0.0166 **
phi_2 −0.775841 0.147472 −5.261 1.43e-07 ***
X1 0.665307 0.173553 3.833 0.0001 ***
X2 −0.199019 0.0600511 −3.314 0.0009 ***
X3 −0.151153 0.0637270 −2.372 0.0177 **
Does gretl apply the lag operator to the dependent variable and estimate Yt= c + p1Yt-1+p2Yt-2 +ΣbX +et or estimate Yt=c+ΣbX +ut in which Ut incorporates the AR2 structure (as in AR General Cochrane Orcutt estimation). In other words what is the final form of the equation to generate the fitted or future values(at least where past residuals would still apply) ?
3 years, 9 months
