Re: Gretl-users Digest, Vol 190, Issue 18
by Agustín Alonso Rodríguez
Thanks a lot.
Agustin Aloonso-Rodriguez
-----Mensaje original-----
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Enviado el: sábado, 12 de noviembre de 2022 0:00
Para: gretl-users(a)gretlml.univpm.it
Asunto: Gretl-users Digest, Vol 190, Issue 18
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Today's Topics:
1. Re: VAR modeling (Cottrell, Allin)
----------------------------------------------------------------------
Date: Fri, 11 Nov 2022 15:49:50 -0500
From: "Cottrell, Allin" <cottrell(a)wfu.edu>
Subject: [Gretl-users] Re: VAR modeling
To: Gretl list <gretl-users(a)gretlml.univpm.it>
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On Fri, Nov 11, 2022 at 5:28 AM Agustín Alonso Rodríguez <aalonso(a)rcumariacristina.com> wrote:
>
> How to refine or simplify a VAR model suppressing the insignificant estimated coefs?
You have a reply from Sven, noting that gretl does not currently have a built-in procedure for what you describe. That's true, but I'll offer a somewhat different perspective.
When you estimate a VAR with p lags of each variable, you should not be too concerned with the "statistical significance" of each coefficient -- and not too quick to eliminate terms that are "insignificant". If the VAR is in levels, in particular, it's likely that the several lags of a given variable will be strongly correlated.
This then gives you the classic "multicollinearity" effect, whereby each individual coefficient may be "insignificant" yet a joint test strongly rejects the null hypothesis that the "collinear" variables all have coefficients equal to zero. Gretl shows you the joint (F) tests after estimating a VAR -- that is, tests for Granger causality
-- and you might be better off using these to eliminate one or more variables from your specification (if warranted) rather than worrying about individual lagged terms.
Allin Cottrell
------------------------------
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End of Gretl-users Digest, Vol 190, Issue 18
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4 years
Re: VAR modeling
by Dhanasekaran Kuppusamy
On Fri, 11 Nov 2022 at 5:28 AM, Agustín Alonso Rodríguez <
aalonso(a)rcumariacristina.com> wrote:
> Dear Sirs:
>
> Dear Augustinian, one way is the Hendry’s General to specific criteria
> to select the model. you retain the lagged variables , which ,usually ,
> have the p value less than or equal to .05 in your model.
>
> How to refine or simplify a VAR model suppressing the insignificant
> estimated coefs?
>
>
>
> Waiting for your help, I am
>
>
>
> Sincerely yours.
>
>
>
> Agustin Alonso-Rodriguez
>
> Prof. of Econometrics
>
> Real Centro Universitario “Escorial-Maria Cristina”
>
> San Lorenzo de El Escorial(Madrid) Spain
>
>
> _______________________________________________
> 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/
>
4 years
VAR modeling
by Agustín Alonso Rodríguez
Dear Sirs:
How to refine or simplify a VAR model suppressing the insignificant estimated coefs?
Waiting for your help, I am
Sincerely yours.
Agustin Alonso-Rodriguez
Prof. of Econometrics
Real Centro Universitario "Escorial-Maria Cristina"
San Lorenzo de El Escorial(Madrid) Spain
4 years
Problems with open command
by Federico Fiorani
Dear all,
I get this error "cURL error 23 (Failed writing received data to
disk/application)" when I try to open urls with GET method. Something
like this
<hansl>
open "http://www.site.com/page?p=val"
</hansl>
I see that gretl tries to save the contents of the page in a file with
the same name as the page (in the previous case
"path_to_gretl_dir/page?p=val"). I suppose the problem is that in
Windows "?" is a forbidden char for file names.
https://learn.microsoft.com/en-us/windows/win32/fileio/naming-a-file#nami...
Another thing, if I try to open csv-formatted file where the separator
is "|" and there is somewhere a comma "," something goes wrong and
program freezes. But about this I'm not sure if the problem is in my pc.
Regards
Federico
4 years
Re: How to apply the HAC option in Gretl?
by Riccardo (Jack) Lucchetti
On Mon, 7 Nov 2022, Torbjørn Lorentzen wrote:
> Hi all,
>
> I'm a new user of Gretl. I'm using ols in the estimation of a time
> series model. T want to us ethe HAC-option to correct for
> autocorrelation and heteroscedasticity. I tried the robust option, but
> to what I can see it only corrects for heteroscedasticity?
>
> Great if anyone could help me with the Gretl script for HAC and how to
> put it together with the ols command. All suggestions are appreciated 😊
If your dataset is set as "time series", the HAC option should apply
automatically where you use the "--robust" option.
If you read the data from some external format, such as csv, excel, stata
etc., maybe you didn't set up your dataset as "time series". You can do
this either via the "setobs" command, or via the GUI client by selecting
the "Data > Dataset Structure" menu. Once the time series information is
set, by saving your data in gdt format, it will be retained next time you
open the file.
In a script you'd do something like
<hansl>
open mydata.csv
setobs 12 2012:03 # monthly data starting on March 2012
ols y const x --robust
</hansl>
> Regards,
> Tobben
One small thing: you're posting from a different email address than the
one you used for registering, so I had to let your message through "by
hand". Not a big deal, of course, but it'd be better if you used the
correct one.
-------------------------------------------------------
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 apply the HAC option in Gretl?
by Torbjørn Lorentzen
Hi all,
I'm a new user of Gretl. I'm using ols in the estimation of a time series model. T want to us ethe HAC-option to correct for autocorrelation and heteroscedasticity. I tried the robust option, but to what I can see it only corrects for heteroscedasticity? Great if anyone could help me with the Gretl script for HAC and how to put it together with the ols command. All suggestions are appreciated 😊
Regards,
Tobben
4 years
Re: Installation failed
by Allin Cottrell
On Thu, 3 Nov 2022, Fazeel Jaleel wrote:
> Dear Allin
>
> I am using the same Macbook and the
>
> • Gretl was working fine but an earlier version of macOS
>
> • Then I tried to instal macOS with Ventura (13.0) and the Gretl
> was working fine too
>
> • Then I tried to instal Gretl latest update (Nov 1st release) on
> the installing process a message came That Gretl tried to access
> your folder (something similar to) but I accidentally pressed NO
> button
>
> * Since then, the same error message pops up every time try
> installing the Gretl
What you tell us implies the following:
* There's no inherent incompatibility between gretl and Ventura.
* The problem is not specific to the latest release (since you told
us earlier that the older version of gretl won't install now
either).
What I infer is that there's some setting in your user account on
Ventura that is banning gretl installation (presumably connected
with your inadvertently clicking on "No" as you describe).
So I'm going back to one of my previous points:
> I've heard of some Mac users who encountered failures trying to
> install certain application programs (not gretl), but managed to
> do so by creating a new administrator account and installing the
> software using that account.
Try creating a new user account on your Mac, with admin rights, and
see if you can install gretl from there.
Allin
4 years
Hausman test and robust estimates
by Alison Loddick
Hi,
This I'm hoping is an easy question. I'm doing panel regression with robust estimates. I have read that you cannot do a Hausman test on robust estimates. I'm wondering therefore whether Gretl does the test on the non-robust estimates or whether it does a robust hausman test?
Thank you for any help
Alison
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4 years
Re: Installation failed
by Allin Cottrell
On Thu, 3 Nov 2022, Fazeel Jaleel wrote:
> Dear Allin,
> I have copied and pasted under the installer folder “all Logs”
> Nov 4 07:42:20 Fazeels-MBP-9 Installer[2564]: @(#)PROGRAM:Install PROJECT:Install-1000
> Nov 4 07:42:20 Fazeels-MBP-9 Installer[2564]: @(#)PROGRAM:Installer PROJECT:Installer-1131
[etc.]
Thanks for trying, Fazeel, but I'm afraid there's no useful
information in that listing. It might help if you could give us a
precise history. I gather that gretl was working OK for you on a Mac
at some earlier point, but...
Was that on the same Intel MacBook with the same OS (Ventura), or
the same MacBook but an earlier version of macOS, or an earlier
MacBook? That is, please give us a precise account of exactly what
has changed since you were last able to install gretl successfully.
Not intending to muddy the waters here, but I've heard of some Mac
users who encountered failures trying to install certain application
programs (not gretl), but managed to do so by creating a new
administrator account and installing the software using that
account.
Allin
4 years
Re: Installation failed
by Allin Cottrell
On Thu, 3 Nov 2022, Fazeel Jaleel wrote:
> Dear Allin,
> Yes, I followed the following link
> /System/Library/CoreServices/Installer.app/Contents/MacOS/Installer
> and when I opened it, I can see the follwoing message [...]
So it seems that's not the right program to invoke. Look in the
Finder for
/System/Library/CoreServices/Installer
and double-click on it. Then you should see an Installer menu at the
top of the screen, with a Window menu containing the Installer Log
item. It may be that you have to try installing the gretl package
again to get the Log to become available. When you get the error
message, see if the Installer menu with its Window item is active
before closing the installer: if so, that's the info we need.
Allin
4 years
