May 2025 - Gretl-users - gretlml.univpm.it

Panel-data sample manipulation-transformation

by Alecos Papadopoulos

I went through the available panel-data functions in gretl and what I describe below does not appear to be implemented. I also have difficulty imagining how I could do it through a user-defined function because I do not understand whether, and how, the variant of panel-data structure (stacked v_1, stacked v_2, or based on variables etc), may need to be taken into account or not. Also, how the case of an unbalanced panel could be handled (which is indeed my case - and as Bruce E. Hansen writes "unbalanced panels complicate computer programming"...) I would appreciate any suggestions. Let a balanced panel data sample {y_{it}, x_{it}}, i=1,...,N, t=1,...,T I want to transform the sample by subtracting from each data point the related group-mean, i.e. the mean value of the same (same by nature) variable across the dimension i=1,...,N Namely to perform the operation z_{it} = x_{it} (-) (1/N)*sum_{i=1}^N [x{it}], i.e. z_{it} = x_{it} (-) (1/N)*[x_{1t} + x_{2t} + ... + x_{Nt}] and the same for the "y" variable, and any other variable in the sample. Ideally, this has to work for both balanced and unbalanced panels., i.e. when the "N" may differ in each t time period. -- 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

4 days, 7 hours

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Sample management in a panel case

by Alecos Papadopoulos

I have a session with a panel data sample. I run smpl --no-missing Xlist to restrict the sample. Then I go to the GUI / Sample / Make current subsample permanent I get a warning whether I really want to proceed, I select "yes" and I get gretl: error "Command has insufficient arguments". Any ideas why? -- 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

1 week, 5 days

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Rolling OLS example

by Theodoros Panagiotidis

Dear All, You might find the attached script useful for teaching purposes. It runs a simple CAPM with a January dummy variable and plots the rolling coefficients and the rolling R^2. Credit to Michalis Tsachakis for this. regards Theo -- Theodore Panagiotidis University of Macedonia Thessaloniki, Greece & Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory> Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/> GooglePage <https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>

1 week, 5 days

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gretl for Windows on arm64

by Cottrell, Allin

Some people have expressed interest in running gretl on arm64 Windows. Well, we've started work on this and there's now a native arm64 package available for testing, at https://sourceforge.net/projects/gretl/files/snapshots/gretl_install-arm6... I've tested on a Surface X Elite running Windows 11 and it seems to work nicely. We'd be grateful if people are willing to give it a try and report any problems. Two limitations to note: First, parallelization via MPI is not yet working. Microsoft's MS-MPI is not available for arm64, and probably never will be. I've put some effort into trying to port Open MPI but have not yet succeeded. Second, the X-13ARIMA-SEATS (x13as) add-on package for gretl is not available in a native arm64 version, since there's not yet a sufficiently functional fortran compiler for arm64. However, Windows 11 on arm64 supports x64 emulation, and if you want to use x13as with gretl, there's an installer for the x64 version which is tested as working OK on arm64: https://sourceforge.net/projects/gretl/files/x13as/x13as_install-64.exe Allin Cottrell

1 week, 6 days

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Package updates (December 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 December 2024, 3 packages were updated to a new version: "graphlasso", by Sven Schreiber (graphical Lasso --- l1 shrinkage for covariance matrices) "lomackinlay", by Allin Cottrell and Sven Schreiber (Lo-MacKinlay variance ratio test for determining if a time series is a random walk process) "BACE", by Marcin Błażejowski and Jacek Kwiatkowski (Bayesian Averaging of Classical Estimates) I'll reserve a special mention for the "graphlasso", which now uses a new internal function to speed up computation. Sorry if this message comes relatively late in the month, but I was away ;) Download and enjoy! ------------------------------------------------------- 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, 2 days

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ARIMA on log transformed data

by dbrilakis＠yahoo.gr

Hi, I found that my data become stationary (after differentiate) the log data with best ARIMA(p,d,q) How do I rebuilt the ARIMA forecast to the origina scale before log? Tanks in advance

2 weeks, 6 days

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Package updates (March/April 2025)

by Riccardo (Jack) Lucchetti

Dear all, this message is to inform the community about the activity in our function package repository: during the months of March and April 2025, 6 packages were updated to a new version: "LocalProjection", by Gerardo Sebastián Díaz Muro & Eduardo Valencia (Impulse response functions via local projections) "MSVAR", by Sven Schreiber (Markov-Switching VARs) "StrucBreak", by Riccardo "Jack" Lucchetti and Sven Schreiber (Autodetection of structural breaks in linear models, Bai-Perron style) "frontier", by Francesca Di Iorio and Riccardo "Jack" Lucchetti (stochastic frontier analysis) "ModRS_test", by Daniel Ventosa-Santaulària (Modified Lo's R/S statistic) "auto_arima", by Artur Tarassow (IC-based automatic SARIMA model selection) I you'd like to know more on these packages, or simply find out what's new, the best way is to open the packages page (https://gretl.sourceforge.net/cgi-bin/gretldata.cgi?opt=SHOW_FUNCS) and click on the package name or on the [doc] tag if available. If you're wondering why I crammed March and April together, it's simply because I forgot to send the report a month ago. My apologies. Download and enjoy! ------------------------------------------------------- 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 -------------------------------------------------------

3 weeks, 2 days

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Gretl-users May 2025