October 2024 - Gretl-users - gretlml.univpm.it

by Paolo Chirico

Hello everyone I have two 2x1 matrices: B.coeff and B.SE. I would like to use the modprint command, but I have problems with the variable names. For example, the following command gives me an error: modprint {B.coeff, B.SE} " const, X" What is the correct command? Thanks, Paolo -- Paolo Chirico RU e Prof.Agg. di Statistica Economica Università del Piemonte Orientale Dip. di Giurisprudenza e Scienze Politiche, Economiche e Sociali (DIGSPES) Alessandria, Italia

12 hours, 46 minutes

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Two recent gretl-related publications

by Artur T.

Dear all, I stumbled over two recent gretl-related publications which might be of interest to you: 1) A special issue entitled "Computational econometrics with gretl" published in Computation Statistics. Here is the link to the introductory article: https://link.springer.com/article/10.1007/s00180-024-01523-z 2) Kivedal (2024): "Applied Statistics and Econometrics. Basic Topics and Tools with Gretl and R" A book published at Springer. Here is the link: https://link.springer.com/article/10.1007/s00180-024-01523-z For an overview of more gretl-related resources, see also here: https://github.com/gretl-project/material-on-gretl/blob/main/README.md If you have further recommendations, please let me know via email or write to the user list. Best Artur

15 hours, 54 minutes

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gretl for Windows

by Cottrell, Allin

My apologies if you get this message twice, but I wanted to give it maximum exposure. Short story: with the next release, 2024c, we plan to make substantial changes to our 64-bit Windows build (though mostly they will not be very visible to users) and we'd like to get as many people as possible to give the new build a try in advance of the release (currently slated for the week beginning October 21). As of later today, the snapshot on sourceforge labeled gretl_install-64.exe will be the NEW build. If anyone tries it, has a problem, and wants to revert, a "traditional" snapshot will still be available: https://sourceforge.net/projects/gretl/files/snapshots/gretl_install-64-g... What's changed in the new build? * We now link against the "new" (starting with Windows 10) Microsoft C library, known as the Universal C Run-Time or UCRT. This is mainly a matter of future-proofing, but it may bring improved performance in some respects. * The graphical interface now uses version 3 of GTK (as opposed to GTK2). The main reason for this change is that gretl should look better on small high-resolution displays (as on laptops) when App-scaling is in force in Windows. * Many of the other third-party libraries on which gretl depends have been updated. * The cross-compiler with which we build gretl has been updated from gcc 10.3.0 to gcc 14.2.0. Allin Cottrell

1 day, 14 hours

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the "gmm" command and the --lbfgs option

by Cottrell, Allin

This is a follow-up to the posting by Alecos P. at https://www.mail-archive.com/gretl-users@gretlml.univpm.it/msg17410.html The --lbfgs option asks gretl to use the limited-memory variant, LBFGS, of the BFGS optimizer to minimize the GMM criterion. This can sometimes be helpful (i.e. convergence is attained when it would not be reached otherwise), though that was not the case in Alecos's example. However, LBFGS (unlike regular BFGS) supports the specification of simple constraints on the parameter estimates. This feature has not been exposed via the "gmm" command to date -- but see the functions BFGScmax() and BFGScmin() for means of using this functionality. These remarks are by way of lead-in to two changes in gretl's "gmm" that are in today's snapshots. 1) There's now an optional parameter to the --lbfgs option: you can say --lbfgs=<matrix-name> where <matrix-name> is the name of a bounds matrix, whose specification can be found in the help for BFGScmax (where the "c" indicates "constrained"). In Alecos's example there are three parameters, all of which should be non-negative, so employing the new option one could do matrix bounds = {1, 0, $huge; 2, 0, $huge; 3, 0, $huge} gmm ... end gmm --lbfgs=bounds 2) When LBFGS (or BFGS) converges there's no guarantee that gretl is able to produce standard errors for the GMM parameter estimates. It can happen that the required matrix J'WJ, where J is the (numerical) Jacobian and W is the weights matrix, is not positive definite. Up till now, if that happens we've flagged an error, with the not very specific message "matrix is not positive definite". Now we don't flag an error, and we print the estimates, but with the more specific message "J'WJ is not positive definite, std. errors not available" -- and of course standard errors, z-scores and P-values are all NA. Allin Cottrell

2 days, 9 hours

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Dynamic Multiplier in Dynamic Simultaneous Equation Models (DSEMs)

by Olasehinde Timmy

Dear Prof., I am researching Dynamic Simultaneous Equation Models (DSEMs), and I understand that Gretl can handle this. I am certain of how endogenous variables respond to exogenous variables; however, I have encountered difficulty in algebraically demonstrating how endogenous variables could respond to each other within the model, as I found in Oxmetrics. I would be very grateful if you could assist me with materials that explain the algebraic representation of the mechanics involved. Yours Timmy John

6 days, 13 hours

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GMM non-negativity constraints with --lbfgs option

by Alecos Papadopoulos

gretl 2024b. Windows 10 64-bit. Is there a way to impose a non-negativity/positivity constraint on the gmm command for an estimated parameter *when using the --lbfgs option*? I am trying to estimate variance(scale) parameters of a distribution. The theoretical moment condition is qw^2 + qu^2 = (1/n)sum res^2 (sum of squared residuals estimates the population variance, which is the sum of two separate variances, so we need both qw>0, qu>0). I wrote one of the two related orthogonality conditions as series eq2 = (res2 - (sqrt(qw))^4 - (sqrt(qu))^4 ) *(1/obsn) (obsn = n) . /Without/ the --lbfgs option, it appears that the positivity constraint imposed implicitly through the use of the square root, is respected. But when I include the --lbfgs option in the gmm command, the estimator does not seem to be bothered with the square root any more; I get for example (with --lbfgs) ... Iteration 2: GMM criterion = 1.45609463344 (steplength = 0.0197114) Parameters: 0.26238 0.26007 Gradients: -0.87662 1.0848 (norm 5.06e-001) Iteration 3: GMM criterion = 0.911545264969 (steplength = 13) Parameters: 0.041548 0.51495 Gradients: -0.019980 1.4100 (norm 6.03e-001) Iteration 4: GMM criterion = NA (steplength = 0.6875) Parameters: -0.57965 1.3822 Gradients: -0.019980 1.4100 (norm 9.90e-001) Iteration 5: GMM criterion = NA (steplength = 0.6875) Parameters: -1.2008 2.2495 Gradients: -0.019980 1.4100 (norm 1.26e+000) Iteration 6: GMM criterion = NA (steplength = 0.6875) Parameters: -1.8220 3.1169 Gradients: -0.019980 1.4100 (norm 1.49e+000) ... --- FINAL VALUES: GMM criterion = NA (steplength = 0.6875) Parameters: -51.518 72.501 Gradients: -0.019980 1.4100 (norm 7.19e+000) I detect that once one parameter becomes negative, the values of the gradients do not change anymore, which may say something about the inner workings of the gmm command with --lbfgs -- A last-minute thought: in gretl's guide (in chapter 37 for numerical methods) we read /<< The primary case for using L-BFGS-B, however, is constrained optimization: this algorithm supports constraints on the parameters in the form of minima and/or maxima. In gretl this is implemented by the function BFGScmax (‘c’ for constrained). The syntax is basically similar to that of BFGSmax, *except that the first argument must followed by specification of a “bounds” matrix. >>*/ So, maybe, because when lbfgs is used as an option in gmm we do not specify this "bounds" matrix, this creates the issue? But regardless, how can it happen that it takes a negative number, puts it inside a square root, and doesn't at least abort if not move away, but keeps on trying negative candidates? -- Alecos Papadopoulos PhD Affiliate Researcher Dpt of Economics, Athens University of Economics and Business Foundation for Economic and Industrial Research (IOBE) web: alecospapadopoulos.wordpress.com/ ORCID:0000-0003-2441-4550

6 days, 15 hours

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New Dataset Collection Available - Introduction to Modern Time Series Analysis

by Artur T.

Dear gretl users, I'm pleased to announce that a new collection of datasets is now available in gretl. These datasets are from the textbook: Title: Introduction to Modern Time Series Analysis Authors: Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler URL: https://link.springer.com/book/10.1007/978-3-642-33436-8 You can easily access these datasets in two ways: 1. Through the gretl menu: File -> Open data -> sample file -> Press icon 'Look on server' and install 2. Using the hansl command: pkg install hassler.tar.gz This package is available from the gretl data server at https://gretl.sourceforge.net/gretl_data.html. We extend our sincere thanks to Uwe Hassler for providing the raw data, making this valuable resource available to the gretl community. Happy analyzing! Artur

1 week

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next gretl release coming up, translation updates welcome

by Cottrell, Allin

Hello all, We're planning to release gretl 2024c before long, probably next week. For anyone who works on a translation of gretl, this would be a good time to update. Thanks in advance! Allin

1 week, 2 days

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event study example

by Theodoros Panagiotidis

Dear All, Does anybody have an event study code and an accompanying dataset that one could use in teaching? regards Theo -- Theodore Panagiotidis Department of Economics University of Macedonia Thessaloniki, Greece ResearchGate <https://www.researchgate.net/profile/Theodore_Panagiotidis> Econpapers <https://econpapers.repec.org/RAS/ppa1363.htm> Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/>

1 week, 2 days

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Package updates (September 2024)

by Riccardo (Jack) Lucchetti

Dear all, this message is to inform the community about the activity in our function package repository: during the month of September 2024, 6 packages were updated to a new version: "almonreg", by Allin Cottrell (Almon regression) "latextab", by Artur Tarassow (fancy LaTeX tables from gretl matrices) "stack_data", by Artur Tarassow (turn a panel dataset into time seriews and back) "yahoo_get", by Riccardo "Jack" Lucchetti (download data from Yahoo finance) "getYahoo", by Yi-Nung Yang (download data from Yahoo finance) "stat_match", by Paolo Chirico (matching estimators for treatment effects) Also note that the "robust_RESET" package, by Oleh Komashko, is going to be retired in the future since the same functionality will be present in the upcoming version of gretl (2024c, due very soon). ------------------------------------------------------- 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 -------------------------------------------------------

2 weeks

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Gretl-users October 2024