Marginal effects calculation - RE probit & FE logit
by martina.marseglia2＠studio.unibo.it
Hi,
I am running FE logit (function package of Lucchetti) and RE probit but there is no option for calculating slopes and different kinds of marginal effects. I downloaded the function packages a_eff of Komashko e lp-mfx of Cottrell but it seems there is no possibility to run them on FE logit and RE probit.
I need marginal effects for evaluating my regression, how can I calculate them?
Thanks in advance,
Martina
3 years, 3 months
matrix-based ols calculations in presence of multicollinearity
by Artur Bala
Hi,
Are the following commands supposed to produce the same results? indeed,
they actually don't.
<hansl>
open greene19_1.gdt
# some series
series term1 = 0.3*TUCE + 4
series term2=2
list xlist = const TUCE term1 term2
matrix x = {xlist}
matrix y = {GPA}
# Model 1
ols GPA xlist --simple
# Model 2
eval inv(x'*x)*x'y
# Model 3
eval inv(x'x)*x'*y
# Model 4
eval mols(y, x)
</hansl>
OLS-built function (model 1) works fine and eliminates the extra variables
that cause multicollinearity.
Same for the OLS matrix-built function (model 4) which halts on the ground
that "Exact or near collinearity encountered"
But, models 2 & 3 give different results (i) from the OLS-built function
and (ii) one from the other. I also tried to use 'invpd()' as presented in
the Guide (Listing 17.3: OLS via matrix methods (p. 153)); same results as
Models 2 & 3.
Am I missing something?
Best,
Artur
3 years, 3 months
Wald test for BEKK-GARCH coefficients
by Burak Korkusuz
Hi,
I am trying to measure the volatility spillover effect from S&P500 to FTSE100 using bivariate BEKK-GARCH model. My code inp and outputs are forwarded to the email.
The volatility spillover effect is measured as the sum of the off-diagonal coefficients of the variance equation matrices A and B, which is E[1,2] = |A[1,2]| + |B[1,2]|.
Next, I need do the Wald test to test the off-diagonal coefficients? (whether they are significant or not; meaning there is volatility spillover from sp500 to ftse or not). I do not know how to write the codes for the Wald test to following my codes (I am not good at coding that much, i usually use drop-down menu but i see it is not available in my case).
Does anyone know how to write Wald test codes to following below codes? I am not familiar with coding stuff and bundle context that's why I am asking here.
My codes are:
set verbose offlist returns = spx_return ftse_returnscalar VAR_lags = 1list VAR_exog = constbundle Modelbekk = BEKK_setup(returns, VAR_lags, VAR_exog)BEKK_estimate(&Modelbekk, 10)BEKK_printout(&Modelbekk)
3 years, 3 months
Re: on near-zero std errors values
by Artur Bala
> Le sam. 30 janv. 2021 à 10:51, Riccardo (Jack) Lucchetti <p002264(a)staff.univpm.it> a écrit :
> On Fri, 29 Jan 2021, Artur Bala wrote:
> > Hi,
> > Probably the topic of "How small is really small?" has been already
> > discussed but I'm still a bit confused.
>
> The fact
> that many, in the economic profession, have come to the unfortunate habit
> of automatically thinking "no stars -> bad, two stars -> good, three stars
> -> wow" should not deter us, as authors of a statistical package, from
> reporting the statistic in the most precise way possible and refrain from
> patronising the user.
Btw, in an OLS estimation (at the end of an iterative WLS process) I ended up with a somewhat extreme p-value though ‘non-zero’ printout :)
F(4, 45) = 2.71006e+08 with p-value = 1.90538e-165
Best,
Artur
3 years, 3 months
