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

by ashaikfe＠gmail.com

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2 months, 3 weeks

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Hamilton trend-cycle decomposition

by Riccardo (Jack) Lucchetti

Hi all, 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 it is: <hansl> function series hamcycle(series y, bool do_plot[1], string title[null]) h0 = 2 * $pd h1 = h0 + 4 list PROJ = y(-h0 to -h1) ols y 0 PROJ -q # ht = $yhat hc = $uhat if do_plot if !exists(title) title = argname(y) endif print title diff8 = y - y(-h0) setinfo diff8 --graph-name="Random walk" setinfo hc --graph-name="Regression" list PLT = diff8 hc plot PLT options time-series with-lines literal set linetype 1 lc rgb "#ff0000" literal set linetype 2 lc rgb "#000000" literal set key top right printf "set title '%s'", title end plot --output=display endif return hc end function # example nulldata 300 setobs 4 1947:1 open fedstl.bin data gdpc1 expgsc1 pcecc96 list Y = gdpc1 expgsc1 pcecc96 LY = logs(Y) strings Titles = strsplit("GDP Exports Consumption") k = 1 # reproduce part of figure 6 loop foreach i LY --quiet hc = hamcycle($i*100,,Titles[k++]) endloop </hansl> 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) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------

5 years, 5 months

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gretl 2019d released

by Allin Cottrell

For anyone not on the anounce list: http://gretl.sourceforge.net/ and http://gretl.sourceforge.net/ChangeLog.html Allin

5 years, 9 months

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Count consecutive observations

by F.R.Costa

I guys,hope you're all well, I have a very quick question. I am working with stock market data. Let's say I have price observations for stock X. I want to exclude stock X from my data if it doesn't have at least 24 consecutive observations. Is there any simple command able to retrieve a consecutive count of observations. $nobs would give a total count, but is there a way to take account of this? Thanks in advance F.R.Costa -- Securely sent with Tutanota. Get your own encrypted, ad-free mailbox: https://tutanota.com

6 years

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Re: Fwd: FIML estimation in single equation regression

by José Perles

Thanks Sven for your fast response. In fact I have a sample with lots of missing data. From 207 observations I get with OLS command an effective sample size of 76. I have seen that FIML would be a solution and some perform the analysis for example in Stata using “sem” command (method=mlmv). I would know of it is possible to replicate the Stata result in Gretl. Thanks again José Enviado desde mi iPhone > El 30 abr 2020, a las 17:53, Sven Schreiber <svetosch(a)gmx.net> escribió: > > Am 30.04.2020 um 16:53 schrieb JOSE FRANCISCO PERLES RIBES: >> Dear team: >> There is an implementation of FIML estimation in the context of single >> equation regression in Gretl?. >> I have seen that Stata and other R functions performs this kind of >> analysis using SEM capabilities as a workaround to deal with missing >> data. Also I have found that there is an implementation in Gretl for the >> case of Systems of Equations.... > > Hello José, since OLS is also ML for a linear single equation I guess > this is not what you mean. You mention missing data, is that what you're > dealing with? It would be useful if you could describe in more detail > what problem you're trying to solve. > > cheers > sven > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/

6 years, 1 month

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Clarification on Gauss-Legendre quadrature

by Alecos Papadopoulos

Maybe this is really a clarification on the theory, not on what gretl does, but I will start by asking here. Gretl gives weights and nodes for Gauss-Legendre quadrature for arbitrary finite lower and upper limits of integration, not only the default (-1,1). Suppose I have a definite integral \int f(x) dx, with limits (a,b). I ask Gretl for help through the quadtabe command, say for five nodes matrix GLegm = quadtable (5,2, a,b) . gretl obliges, and I get my nodes and my weights. Should I then also make the transformation y = 2*(x-a)/(b-a) - 1, and evaluate the integrand by [(b-a)/2]*SUM {w_i* f[a+(y_i+1)*(b-a)/2]}, where w_i are the weights I got and y_i the nodes I got, or should I evaluate the integrand by SUM {w_i f(x_i)}, where here the nodes I got interval are represented by x_i? I ended up laughing with how confused this one has got me. The confusion stems from the question "since I adjust the nodes and weights to the actual interval (a,b), why should I also adjust the integrand?" But I remember reading a tutorial on the matter, and it appeared to suggest that we should do both: get weights and nodes for the (a,b) interval /and /apply the transformation. Any suggestions? -- Alecos Papadopoulos PhD Athens University of Economics and Business web: alecospapadopoulos.wordpress.com/ skype:alecos.papadopoulos

6 years, 1 month

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Fwd: FIML estimation in single equation regression

by JOSE FRANCISCO PERLES RIBES

Dear team: There is an implementation of FIML estimation in the context of single equation regression in Gretl?. I have seen that Stata and other R functions performs this kind of analysis using SEM capabilities as a workaround to deal with missing data. Also I have found that there is an implementation in Gretl for the case of Systems of Equations.... Thanks in advance and sorry for any inconvenience. José Perles University of Alicante

6 years, 1 month

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Found it by luck (the odd typo).

by Ioannis A. Venetis

Hi all, I copy - paste (copy-pasted or copied-pasted ? :)) Listing 9.1: Periodogram via the Fourier transform for the gretl-guide.pdf At least in my computer the transpose symbol is not the expected one by gretl so it returns the following error. <script output> Unexpected byte 0xe2 C:\Program Files\gretl\write.chk: Permission denied Couldn't write to 'C:\Program Files\gretl\': gretl will not work properly! C:\Users\Venetis\AppData\Roaming\gretl\gretl.pid: No such file or directory C:\Users\Venetis\AppData\Roaming\gretl\gretl.pid: No such file or directory Error executing script: halting > omega = seq(1,($nobs/2))' .* (2*$pi/$nobs) </ script output> I know it seems the same but apparently it is not. omega = seq(1,($nobs/2))' .* (2*$pi/$nobs) Best, Yiannis

6 years, 1 month

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print .... -o is not listed in gretl:command reference or elsewhere

by Ioannis A. Venetis

Hi all, I saw Jack's last hansl code, in particular, line print x streak -o Apparently it does what print x streak --byobs would do. But the option -o is not listed either in gretl:command reference or gretl-ref.pdf. It appears however in a number of places in the gretl-guide.pdf (in listings, e.g Listing 14.1: Usage of interaction lists, page 117) Best, Yiannis

6 years, 1 month

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On manageable matrix dimenisons

by Alecos Papadopoulos

I have a question for more experienced users and the guardians of gretl. I am about to go into Markov Chain Monte Carlo simulations and an acceptance/rejection algorithm of the generated values. This would require something like 200,000 loop runs, from which say something like 100,000 will be accepted and should be stored. The number of parameters is 32. Up to now with smaller simulations, I used to store such values in matrix objects, and then turn them into series objects. But now I am looking at a 100,000 X 32 matrix, or at best at 32 vectors of 100,000 X 1 dimension, and I was wondering whether such a large row dimension will create problems of speed or any other kind of problems. Any suggestion on that? -- Alecos Papadopoulos PhD Athens University of Economics and Business web: alecospapadopoulos.wordpress.com/ skype:alecos.papadopoulos

6 years, 1 month

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Gretl-users April 2020