Cragg - Donald statistic in loop
by Andreas Zervas
Hi all,
I was running IV regressions in a loop using gretl 2024d in windows 10, and saw that while it calculates first stage F, it does not do the same with Cragg - Donald statistic. Is there a reason for it?
How can we calculate it the Cragg - Donald with e.g. matrices? Is there a simple formula to do it?
Best,
Andreas
1 week, 4 days
Package updates (June 2025)
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 June 2025,
one packages was updated to a new version:
"BEKK", by yours truly (Multivariate GARCH)
The package itself has changed only marginally: the main difference is
that we now have much nicer documentation as a pdf file.
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
-------------------------------------------------------
1 week, 6 days
issues compacting frequency from hourly to daily
by Sven Schreiber
Hi,
I have an hourly dataset which I want to transform (compact) to daily
data. I'm going to describe some problems, first using the GUI, then
with a concrete script example (but different problems).
GUI:
I applied the dataset structure wizard from Data / Reduce frequency with
what seemed to be a success at first, by choosing "to 7-day daily" and
averaging as the compaction method. However, it then turned out that the
data compaction didn't seem to be correct. Notice that the dataset
starts not at midnight, but in the middle of the first day, so during
the first day there are less than 24 obs; maybe that matters.
Specifically, I created a "check" series that only holds 1 during the
hours of the first day. I would expect that that first day in the daily
data then gets a 1, but instead it got a 0. There also seemed to be
other artefacts afterwards.
Script example:
<hansl>
nulldata 100
setobs 24 10:4 --time-series # hourly, starts at day 10, hour 4
series day = $obsmajor
series hour = $obsminor
series check = day==10 ? 1 : 0 # is 1 for less than 24 hours
dataset compact 7 # error, not supported
</hansl>
First, it's funny that the compaction "worked" in the GUI, but the
script reaction is that it's not supported. But maybe the latter is more
appropriate, given my problems before. Next, if instead of "dataset
compact 7" I use "dataset compact 1", there's no error, but gretl now
thinks it's an annual dataset, but my "check" variable still doesn't get
the 1 value for the first compacted obs.
thanks
sven
2 weeks, 1 day
papers from the 2025 gretl conference
by Cottrell, Allin
This message is intended for those who presented papers at GC2025 and
wish to submit them for consideration for the follow-up special issue
of Computational Statistics. Unfortunately we don't have a list of
emails for presenters but I'm hoping this may catch most of you. If
you have a colleague who gave a paper but is not on this list, please
pass on the following:
A document giving instructions and a timetable is available at
https://gretl.sourceforge.net/SI.pdf . In addition here's a direct
link to the journal's site:
https://link.springer.com/collections/djaggbgfhf
Allin Cottrell
2 weeks, 3 days
