October 2020 - Gretl-users - gretlml.univpm.it

Re: How to efficiently simulate a lot of autoregressive panel data for testing purpose? (Riccardo (Jack) Lucchetti)

by Fred Engst

Thanks Jack, It helps a great deal. I didn’t realize you can set autoregressive panel the same way you do for time series. Fred > > Date: Wed, 21 Oct 2020 08:56:58 +0200 (CEST) > From: "Riccardo (Jack) Lucchetti" <p002264(a)staff.univpm.it> > Subject: [Gretl-users] Re: How to efficiently simulate a lot of > autoregressive panel data for testing purpose? > To: Gretl list <gretl-users(a)gretlml.univpm.it> > Message-ID: <2dcc2e9b-36fe-be92-8043-b7afdcdb694a(a)staff.univpm.it> > Content-Type: multipart/mixed; > boundary="-842988409-523125758-1603263419=:122363" > > ---842988409-523125758-1603263419=:122363 > Content-Type: text/plain; charset=ISO-8859-15; format=flowed > Content-Transfer-Encoding: quoted-printable > > On Wed, 21 Oct 2020, Fred Engst wrote: > >> Hi all, >> I need an efficient means to simulate a lot of autoregressive panel dat= > a, but have not been able to do it without a lot of trouble. > > Does this help? > > <hansl> > > nulldata 360 > setobs 12 1:1 --stacked-time-series > series x =3D normal() > series y =3D 10 > y =3D 1 + 0.9 * y(-1) + x - 0.9*x(-1) + normal() > > dpanel 1 ; y const x x(-1) --system > > </hansl> > > ------------------------------------------------------- > Riccardo (Jack) Lucchetti > Dipartimento di Scienze Economiche e Sociali (DiSES) > > Universit=E0 Politecnica delle Marche > (formerly known as Universit=E0 di Ancona) > > r.lucchetti(a)univpm.it > http://www2.econ.univpm.it/servizi/hpp/lucchetti > ------------------------------------------------------- > ---842988409-523125758-1603263419=:122363-- > > ------------------------------

4 years, 2 months

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How to efficiently simulate a lot of autoregressive panel data for testing purpose?

by Fred Engst

Hi all, I need an efficient means to simulate a lot of autoregressive panel data, but have not been able to do it without a lot of trouble. Thanks in advance, Fred

4 years, 2 months

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Survey: What’s new in forecasting software?

by Artur Tarassow

Hi, this may be of interest to some of you. It's a survey made every 2 years, and gretl is taken into account this time. Article/ summary: https://pubsonline.informs.org/do/10.1287/orms.2020.04.05/full/ Presentation + discussion: https://youtu.be/20phnMEqDVA I haven't read/ listened in detail, yet, but maybe some aspects discussed after the presentation are relevant for us (the gretl project) too. Best, Artur

4 years, 2 months

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marginal effects - ordered logit

by Artur Bala

Dear all, How can I compute the marginal effects for ordered logit/probit models based on the output provided by gretl? Anything similar to Stata's "margins" command ? Best, Artur

4 years, 2 months

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Troubles with residuals recovery in a VAR

by Daniel Ventosa-Santaulària

Hello everyone, I am having trouble with the recovery of the residuals in a VAR model. If if do it though the GUI everything is ok, but if I try to do it through a code, then I can only recover the residuals (as a time series) of the first equation, but for the remaining equations, I can only get them as a matrix. Here is this simple example code: open np.gdt var 2 rgnp emply interest --robust series Resid1=$uhat[,1] # This one works perfectly series Resid2=$uhat[,2] # This one does not; mismatch between series and matrix this is probably a rookie's mistake, but I cannot see where the problem is. Thanks, Daniel __________________________________________________________ Daniel Ventosa-Santaulària División de Economía, *CIDE* - *www.ventosa-santaularia.com <http://www.ventosa-santaularia.com>* - Tel. +52 (55) 5727 98 00 X-2723 __________________________________________________________

4 years, 2 months

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Initial release of the "calendar_utils" package

by Artur Tarassow

Hi all, Version 0.1 of the new user-contributed package named "calendar_utils" has just been uploaded to the gretl server. This package currently includes three convenience functions for working with calendar dates. Check out the help file, sample script and/or the following homepage showing a small example on how to use things: https://github.com/atecon/calendar_utils/blob/main/README.md The source code as well as tests can be found here: https://github.com/atecon/calendar_utils/ Comments and improvements are welcome. Best, Artur

4 years, 2 months

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Penrose

by Sven Schreiber

Hi everybody, -slightly offtopic- so I've learned this week that the Penrose from the Moore-Penrose inverse is actually a physicist (as he received the Nobel prize). In a perhaps completely unnecessary move I just wanted to point out that we have that in hansl, namely the ginv() function which computes the generalized inverse (aimed at singular matrices). This is of course nothing spectacular but a standard function for matrix-oriented software, but still I found it interesting that he is still alive, for example. cheers sven

4 years, 2 months

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the tramolin.gfn contributed package has been retired

by Sven Schreiber

Hi, this is a short note that just now the tramolin.gfn package has been retired, i.e. removed from the package server. This was suggested by the package author Ignacio, since the functionality of accessing TRAMO and so on has been offered by gretl in a different way for a long time. (The package did the job nicely before that happened.) See the Variable menu, TRAMO analysis. cheers sven

4 years, 2 months

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gretl plot controls "palette"

by Ioannis A. Venetis

Hi all, At least in plain time series graphs the gretl plot control had a "palette" tab where we could change/set the first 8 (i think) series colours. It is no longer available in gretl2020d. Yiannis -- [1] Links: ------ [1] https://sites.google.com/site/ioannisavenetis/

4 years, 2 months

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Can I estimate a VAR-X in GRETL?

by Daniel Ventosa-Santaulària

Hello everyone, I am being asked to estimate a VAR-X; I would like to do it in GRETL, but I don´t really know how. My understanding of a VAR-X is the following: Suppose 3 variables, X, Y, and Z, to be included in a VAR(1). Yt = a1 Yt-1 + a2 Xt-1 +a3 Zt-1 Xt = a4 Yt-1 + a5 Xt-1 +a6 Zt-1 Zt = a7 Yt-1 + a8 Xt-1 +a9 Zt-1 Suppose further that Y is a macro variable from, say, the US, whilst X and Y are macro variables from Mexico. I would like to assume that Y affects X and W, but is not affected by X, and Y. Thus, what I need to do is to restrict a2 = a3: Yt = a1 Yt-1 Xt = a4 Yt-1 + a5 Xt-1 +a6 Zt-1 Zt = a7 Yt-1 + a8 Xt-1 +a9 Zt-1 Therefore, Y has its own AR equation. This is not exactly an exogenous variables as defined in the GRETL VAR command. At most, what I can do with GRETL command is: Xt = a4 Yt-1 + a5 Xt-1 +a6 Zt-1 Zt = a7 Yt-1 + a8 Xt-1 +a9 Zt-1 But then I lose Y's equation. I could estimate separately the first equation and then the other two in a regular VAR, but I was wondering if I can directly estimate the VAR with the three variables and restrict two specific parameters, as in the first set of equations. My final goal is to estimate the IRF Yt -> Xt. Is this feasible in GRETL? Thanks in advance. Friendly, D. * Daniel Ventosa-Santaulària* * Banco de México & **CIDE* - http://www.ventosa-santaularia.com

4 years, 2 months

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Gretl-users October 2020