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yesterday, after having taught my students the HP decomposition, I
wondered if I should also tell them that one of the greatest time-series
econometricians on Earth recently wrote a rather scathing paper entitled
"Why You Should Never Use the Hodrick-Prescott Filter", where he proposes
a simple alternative.
So this morning I rustled up a little script with Hamilton's filter. Here
function series hamcycle(series y, bool do_plot, string title[null])
h0 = 2 * $pd
h1 = h0 + 4
list PROJ = y(-h0 to -h1)
ols y 0 PROJ -q
# ht = $yhat
hc = $uhat
title = argname(y)
diff8 = y - y(-h0)
setinfo diff8 --graph-name="Random walk"
setinfo hc --graph-name="Regression"
list PLT = diff8 hc
options time-series with-lines
literal set linetype 1 lc rgb "#ff0000"
literal set linetype 2 lc rgb "#000000"
literal set key top right
printf "set title '%s'", title
end plot --output=display
setobs 4 1947:1
data gdpc1 expgsc1 pcecc96
list Y = gdpc1 expgsc1 pcecc96
LY = logs(Y)
strings Titles = strsplit("GDP Exports Consumption")
k = 1
# reproduce part of figure 6
loop foreach i LY --quiet
hc = hamcycle($i*100,,Titles[k++])
Should we turn this into a function package?
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
I would like to add additional time-dimensions (n observations) for each
unit in a panel. I've tried to make use of the <dataset addobs> command
but it does, instead, add a whole new unit:
set verbose off
nulldata 6 -p
series unit = cum(((index-1) % 3) == 0)
series time = vec(cum(mshape(ones(6,1),3,2)))
setobs unit time --panel-vars
dataset addobs 3 # stacks time-series of length 3 for a 'new' unit
print dataset -o
Is there a 'clever' way to expand the time-dimension while leaving the
I am experiencing a weird problem with sourceforge: very simply, I
cannot reach it from from my Win10 PC at work, neither with the default
browser (Firefox) nor with MS Edge. Otherwise (mobile on WiFi, home PC)
no access problems. I tried cleaning the cookies and the cache of
Firefox and fiddling with the security options, no results. Any hints?
Professore Ordinario di Statistica Economica
Dip. di Scienze Statistiche
"Sapienza" Università di Roma
P.le A. Moro 5 - 00185 Roma - Italia
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I did a test on file formats created by "Ox Console version 8.02 (OS_X_64/U)" and reading from gretl 2020a, and I found many inconsistencies in Ox.
From files created by “savemat” command of Ox, gretl was able to read .csv, .dta, or .xlsx files fine, but not .xls files ("Failed to get workbook info”). Stata 10 was also able to read the .dta file.
From files created by Ox database class “Save”, gretl was able to read .xlsx, or .csv files but not the .xls file ("Failed to get workbook info”), nor the .dta file ("This file does not seem to be a valid Stata data file”). Neither was Stata 10 able to read this .dta file.
So the problem is with Ox, it seems. Since Ox claim the ".dta: Stata 11 data file (version 114)," I can’t test their claim with Stata 10.
From files created by Ox database class “SaveXlsx”, gretl was able to read only the .xlsx file. For the .dta file and the .xls file it give the same set of errors as before. For the .csv file, it read garbage, as seen in the string_table.txt:
String code table for variable 1 (PK):
1 = '%SÂx'
2 = 'ÝÒùlT/wd±Ãv)
3 = 'òRŠrð?%ëÑäöï0U
4 = ''pšê'J¹&ö*C\ÔÐ§äo£éyŠXgZ 3¥üz2#uûíöÃwÔ
5 = 'áh¯@5'Ïà¥mÃwb^fvé.ÈKbgÙn|Èõ!'
6 = 'yÕPè8i°br8"y_f4(<kµ¿ÜêüÐ8s"KÐHàß>2þÚýçªÖ_FËoÆgñÓ§ÂÕAÔÅ;PK'
7 = 'ÎóÜÌ×Zîïàõáþiyµö|®Ê)Á¿v/PK'
8 = 'ëöÖ)BQ.Ô¡°'
9 = '^|cfGQÁnÛÀhÈºxRðþöŒy’
So I will only use the Ox database class “Save” from now on.
I don’t think you need to do any work on this, it seems.
> On Mon, 24 Feb 2020, Fred Engst wrote:
>> Thank you Allin once again! Yes, I can now read .xlsx file created=20
>> by Ox in gretl.
> Hmm, I'm checking for problems in current gretl, as we prepare for a=20
> new release, and I see that the special case I introduced to handle=20
> Ox-generated xlsx files has broken reading of some other xlsx files=20
> which I think are probably more idiomatic. So I'll have to=20
> reconsider my "fix" unless I can get everything working.
>> I=E2=80=99m not sure what=E2=80=99s going on with OX. Not only was the =
> excel file=20
>> format not standard, but both .csv and .dta files created by=20
>> =E2=80=9Csavemat=E2=80=9D statement in Ox are causing reading error in =
> I tried generating csv and dta files from Ox (oxconsole7 on Linux)=20
> and found that these were read OK by gretl. Maybe you could send me=20
> some examples that don't work?
Thank you Allin once again! Yes, I can now read .xlsx file created by Ox in gretl.
I’m not sure what’s going on with OX. Not only was the excel file format not standard, but both .csv and .dta files created by “savemat” statement in Ox are causing reading error in gretl.
Now that I have at least one file format that can be shared between Ox and gretl, I”m happy.
> On Fri, 21 Feb 2020, Allin Cottrell wrote:
>> On Fri, 21 Feb 2020, Fred Engst wrote:
>>> If I save [a matrix from Ox] in xlsx format, gretl skips the=20
>>> header and gives me generic variable names as in: v1, v2, =E2=80=A6
>>> Any suggestion for what I should do?
>> It seems like we should be able to pick up column headings from such a =
>> but apparently Ox uses a somewhat unorthodox representation. If you ope=
> n the=20
>> Ox-generated xlsx file in LibreOffice then save it, still in xlsx forma=
>> gretl will find the headings OK. Maybe we can figure out how to handle =
>> Ox-generated case, or maybe not...
> OK, I think we're now able to handle the header strings in=20
> Ox-generated xlsx files (updates in git and snapshots).
Hi Sven, thanks for the input, plausible concerns.
The following seems to work just fine (in the sense that it gave results
that were validated with other estimation methods). Apart from the xmax
operator, it has a density with branches.
catch mle logl = check ? log(A1+A2+A3) :NA
series res = Depvar - lincomb(Reglist,bcoeff)
scalar m = xmax(a,b)
series dens1 = (res >= -b)*(res <= a - m)
series dens2 = (a - m< res)* (res <= m-b)
series dens3 = (res > m-b)*(res <= a )
series d2 = (a-res)/(a*b)
series d4 = (b+res)/(a*b)
series A1 = dens1*d4
series A2 = dens2*(1/m)
series A3 = dens3*d2
scalar check = (a>0) && (b>0)
params bcoeff a b
Alecos Papadopoulos PhD
Athens University of Economics and Business
Am 20.02.2020 um 21:37 schrieb Alecos Papadopoulos:
> Good evening. Will the mle command in gretl have any compatibility
> problem if in the likelihood some of the parameters under estimation
> appear also inside binary min and max operators
Spontaneously I'm skeptical, not because of any gretl limitations, but
because a min/max choice always means a discontinuity where derivatives
break down etc. So it doesn't look like a well-behaved problem for
"smooth" optimization. Maybe you would need a kind of switching algorithm.
But I may well be missing something, other input much appreciated.
I run gretl 2019d for windows 64bit.
In previous versions the order of opening an (existing) .inp file and a
(existing) .gretl file did not matter.
One could open first a .gretl file, then open a .inp file, choose "No"
to the question "Start a new gretl instance?" and the two would be
linked and the script in the .inp file could draw data from the .gretl
file immediately, without the script in the .inp file containing a
command to that effect.
But also, one could start by opening first the .inp file, etc. and
things worked the same way.
Not in the 2019d version though. Here it appears it only works if one
opens first the .inp file and then the .gretl file, but not the other
Again, I am not referring to the case where one has opened a .gretl
file, and then creates a new .inp file and writes a script. The issue
appears only when a .inp file already exists with a script in it.
Alecos Papadopoulos PhD
Athens University of Economics and Business