Determine the quantile value for a list of series
by F.R.Costa
Hi all,
I'm trying to determine the quantile value (as a scalar) for a list of series and I really don't know how to do it. Let's say I want p=0.7 on the following example:
<hansl>
open greene13_1.gdt
list list_mv = F_GM F_CH F_GE F_WE F_US
</hansl>
Basically I have a list of 5 series with market values and I want to determine extreme values in order to proceed with winsorisation. But the quantile function seems not tailored for this.
Any thoughts?
Kind regards,
F.R.Costa
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4 years
plotting complex numbers?
by Sven Schreiber
Hi,
is there a facility to plot the entries of a complex matrix (recent
gretl feature) in the cartesian plane? Similar to what is built-in as
the plot of the VAR roots, but for arbitrary input and in other contexts.
thanks for any hints
sven
4 years
New package: auto_arima
by Artur Tarassow
Hi all,
I just want to inform you about my new official gretl package called
"auto_arima". It returns the best SARIMAX model according to either the
AIC, the AICc, the BIC or the HQC information criteria. The function
conducts a (brute force) search over possible model within the order
constraints provided.
The main features are:
* Consideration of seasonal ARIMA models with and without exogenous
regressors.
* Fine tuning the parameter space to evaluate.
* Simple API.
* GUI access through the gretl menu.
* Public convenience functions for the user for summarizing results,
or retrieving the gretl ARIMA command of the 'best' model.
* Source code is tested by means of unit-tests to minimize bugs.
It's already available on the gretl package server.
For a brief introduction see also here:
https://github.com/atecon/auto_arima
Best,
Artur
4 years
Gretl in a single window for online teaching
by robert_de_jong＠hotmail.com
Is there a way to run Gretl in a single window on OSX?
If I show Gretl to students on Zoom, pressing "Model -> Ordinary Least Squares" creates a new window. Regression results are also displayed in a separate window. If I use Zoom and "Share Screen" and select "Gretl", only the main Gretl window shows for my students.
Thanks, Robert
4 years
random numbers in MPI
by Sven Schreiber
Hi,
here's a question about some details of random number generation in
MPI-parallelized scripts.
I have read the relevant section 7 of the gretl + MPI guide, but one
thing still isn't clear to me: How to imitate the effect of what "set
seed" would do in the standard single-thread setting? As far as I
understand, the default setting in gretl's MPI world is to have separate
RNGs, to preserve independence of the pseudo-random numbers. OK. The
alternative that is described in the guide is to enforce identical RNG
sequences in all parallel threads.
What about the case where you want to have independent RNG sequences
across processes, but you want to be able to control them for
replication purposes, from one run to the next? How to achieve that
effect in gretl's MPI implementation?
thanks
sven
4 years
Bug with string-valued series when storing data
by Artur Tarassow
Dear all,
I've stumbled about an annoying issue.
The following script loads the grunfeld data set which includes the
string-valued series "firmname".
Restricting the data set to a single firm (Chrysler), re-opening the
restricted and stored data set shows that "firmname" still comprises the
old meta data as the last print_array() function call shows. Still _all_
firm names are printed, and thus somehow stored on "firmname".
I guess the issue has (partly) to do with the (at least for me) special
behavior of strvals() which _always_ prints all distinct values of a
string-valued series irrespective of the underlying data set is
restricted or not.
This is with current git under Ubuntu.
<hansl>
clear
set verbose off
open grunfeld.gdt -q
function void print_array (const strings S)
loop foreach i S
print "$i"
endloop
end function
printf "\nPrint all distinct string-values of 'firmname'.\n"
print_array(strvals(firmname))
smpl firmname == "Chrysler" --restrict
store foo.gdt
printf "\n\nLoad restricted data set\n"
open foo.gdt -q -p
printf "\nPrint distinct string-valued firmnames.\n"
print_array(strvals(firmname)) # still incl. _all_ firm names
</hansl>
Artur
4 years
running "foreign" on windows
by Riccardo (Jack) Lucchetti
Dear all,
a friend is having trouble with the "foreign" command under windows for
running R. In attachments, a screenshot with the error he's getting. I
tried to help, but due to my limited command Windows, I failed miserably.
Can anyone help?
-------------------------------------------------------
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
-------------------------------------------------------
4 years
How to calculate the weights in a WLS model
by robdans2＠gmail.com
As the title explains, i'd like to know how to calculate the weights in a WLS model, how Gretl automatically does that and where to check those weights for each residual.
Thanks
Roberto
4 years
Time series question (MIDAS multipliers)
by Riccardo (Jack) Lucchetti
Hi all,
I have a time-series question. In ordinary ADL models (in LaTeX notation):
A(L) y_t = B(L) x_t + u_t
the dynamic multipliers are a very well defined concept: they are the
coefficients of the polynomial D(L) = B(L)/A(L) (provided of course A(L)
is invertible) and it's easy to compute them in hansl via the filter()
function or the FFT if you prefer, not to mention the excellent packages
"ADMBP" and "lagreg", by Artur and Oleh, respectively.
But suppose you have a MIDAS model with an autoregressive part. Something
like
y_t = \alpha y_{t-1} + \sum_{i=0}^k \beta_i x_{\tau - i} + u_t
where $t$ and $\tau$ are the low- and high-frequency time indices,
respectively. In this case, you have a model like
A(L) y_t + B(L*) x_{\tau} + u_t,
where L and L* are two different lag operators, and the relationship
between them is far from obvious to me. Does anyone have a reference on
how to compute the dynamic multipliers? I have searched a little but found
no clues. Can anybody help?
-------------------------------------------------------
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
-------------------------------------------------------
4 years
Wald Test for Non linear restrictions
by Dhanasekaran Kuppusamy
Hello, gretl users,
It is possible to the asymmetric effects using
waldTest.gfn . When I apply the following code (from previous tags) to
apply my programme ,I got the following message:
"A function definition must have a return type and name"
The code:
function restr (matrix *b) matrix ret = b[3]/b[2] - b[4]/b[2] return matrix
ret end function open data4-10 ols 1 0 2 3 4 5 restrict rfunc = restr end
restrict
Can you any one help and suggest the code ( or) function to test the
above restriction?
Best regards,
Dhanasekaran K
4 years
