From ricardogs@terra.com.br Sat Mar 20 00:30:42 2010
From: Ricardo =?utf-8?q?Gon=C3=A7alves?= Silva <ricardogs@terra.com.br>
To: gretl-users@gretlml.univpm.it
Subject: [Gretl-users] Fixed effects forecast
Date: Sat, 20 Mar 2010 01:30:49 -0300
Message-ID: <AAE5D0B6AB9E4FFF877EA96489002003@RicardoPC>
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From svetosch@gmx.net Sat Mar 20 09:56:34 2010
From: Sven Schreiber <svetosch@gmx.net>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sat, 20 Mar 2010 14:56:01 +0100
Message-ID: <4BA4D3F1.3070909@gmx.net>
In-Reply-To: AAE5D0B6AB9E4FFF877EA96489002003@RicardoPC
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Ricardo Gonçalves Silva schrieb:
> Hi,
>  
> Can Gretl forecast 1 to 3 periods ahead an estimated panel
> data(fixed-effects with no iterations) model?
>  

sorry this is not an answer to your question: I wanted to try it out
myself and got a crash with this little script (on today's cvs version):

<script>
open abdata
smpl +0 -3
panel n 0 w --fixed-effects
fcast
</script>

I'm 99% sure there are bugs (probably several) in this mini-script, so
this likely doesn't have anything to do with your question. But still
it's a bug if gretl crashes.

thanks,
sven



--===============9135776628307083839==--


From ricardogs@terra.com.br Sat Mar 20 19:26:42 2010
From: Ricardo =?utf-8?q?Gon=C3=A7alves?= Silva <ricardogs@terra.com.br>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sat, 20 Mar 2010 20:26:51 -0300
Message-ID: <E4071BCA80F046BABE9A2709B7FA6C54@RicardoPC>
In-Reply-To: 4BA4D3F1.3070909@gmx.net
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Hi Sven,

Thanks for the script.
The only problem is that Gretl crashes after fcast.
Any hint?

Ricardo

--------------------------------------------------
From: "Sven Schreiber" <svetosch(a)gmx.net>
Sent: Saturday, March 20, 2010 10:56 AM
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] Fixed effects forecast

> Ricardo Gonçalves Silva schrieb:
>> Hi,
>>
>> Can Gretl forecast 1 to 3 periods ahead an estimated panel
>> data(fixed-effects with no iterations) model?
>>
>
> sorry this is not an answer to your question: I wanted to try it out
> myself and got a crash with this little script (on today's cvs version):
>
> <script>
> open abdata
> smpl +0 -3
> panel n 0 w --fixed-effects
> fcast
> </script>
>
> I'm 99% sure there are bugs (probably several) in this mini-script, so
> this likely doesn't have anything to do with your question. But still
> it's a bug if gretl crashes.
>
> thanks,
> sven
>
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>



>
> Nenhum vírus encontrado nessa mensagem recebida.
> Verificado por AVG - www.avgbrasil.com.br
> Versão: 9.0.791 / Banco de dados de vírus: 271.1.1/2760 - Data de 
> Lançamento: 03/20/10 16:33:00
> 


--===============5547897169051388718==--


From cottrell@wfu.edu Sun Mar 21 21:46:45 2010
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sun, 21 Mar 2010 21:46:44 -0400
Message-ID: <Pine.A41.4.58.1003212133400.1904662@f1n11.sp2net.wfu.edu>
In-Reply-To: 4BA4D3F1.3070909@gmx.net
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On Sat, 20 Mar 2010, Sven Schreiber wrote:

> Ricardo Gonçalves Silva schrieb:
> > Hi,
> >
> > Can Gretl forecast 1 to 3 periods ahead an estimated panel
> > data(fixed-effects with no iterations) model?
>
> sorry this is not an answer to your question: I wanted to try it out
> myself and got a crash with this little script (on today's cvs version):
>
> <script>
> open abdata
> smpl +0 -3
> panel n 0 w --fixed-effects
> fcast
> </script>

Forecasting via the "fcast" command in association with panel
models (other than pooled OLS) is not implemented at this point,
sorry. The crash from the script above is now fixed in CVS and the
snapshots, simply by flagging a "not implemented" error.

Note that the effect of doing

 smpl ; -3

with panel data is to discard the last 3 panel units, not the last
3 time-series observations for each unit (which could not be done
simply by moving the sample end-points).

It is, however, possible to generate a forecast manually based on
fixed-effects estimates.  The following script illustrates.

<script>
open greene14_1.gdt
# number of cross-sectional units
nunits = max($unit)
# number of time periods
T = $nobs/nunits
logs C Q PF
list X = l_Q l_PF LF
# estimate on data up to 1979
smpl year < 1980 --restrict
panel l_C 0 X
# retrieve fitted values
series yh = $yhat
# plus the per-unit intercepts
series ah = $ahat
# and the coefficients on X
matrix b = $coeff[2:]
# restore full time-series length
smpl --full
# expand the per-unit intercepts
loop i=1..nunits
  loop t=11..T
    k = T*(i-1)+t
    ah[k] = ah[k-1]
  endloop
endloop
series Xb = {X}*b + ah
print -o yh Xb
</script>

This script shows that the constructed forecast series "Xb"
agrees with the fitted values obtained via $yhat within sample.

Allin Cottrell




--===============0745104068181885845==--


From ricardogs@terra.com.br Sun Mar 21 22:13:52 2010
From: Ricardo =?utf-8?q?Gon=C3=A7alves?= Silva <ricardogs@terra.com.br>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Mon, 22 Mar 2010 02:13:52 +0000
Message-ID: <7A176890E561476BA1B42F9DFF3E9327@RicardoPC>
In-Reply-To: Pine.A41.4.58.1003212133400.1904662@f1n11.sp2net.wfu.edu
MIME-Version: 1.0
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Allin,

Thanks so much. I will try the script now.
Only a newbie question: the fcasts generated are out-of-sample, right?

Ricardo.

--------------------------------------------------
From: "Allin Cottrell" <cottrell(a)wfu.edu>
Sent: Sunday, March 21, 2010 10:46 PM
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] Fixed effects forecast

>
> On Sat, 20 Mar 2010, Sven Schreiber wrote:
>
>> Ricardo Gonçalves Silva schrieb:
>> > Hi,
>> >
>> > Can Gretl forecast 1 to 3 periods ahead an estimated panel
>> > data(fixed-effects with no iterations) model?
>>
>> sorry this is not an answer to your question: I wanted to try it out
>> myself and got a crash with this little script (on today's cvs version):
>>
>> <script>
>> open abdata
>> smpl +0 -3
>> panel n 0 w --fixed-effects
>> fcast
>> </script>
>
> Forecasting via the "fcast" command in association with panel
> models (other than pooled OLS) is not implemented at this point,
> sorry. The crash from the script above is now fixed in CVS and the
> snapshots, simply by flagging a "not implemented" error.
>
> Note that the effect of doing
>
> smpl ; -3
>
> with panel data is to discard the last 3 panel units, not the last
> 3 time-series observations for each unit (which could not be done
> simply by moving the sample end-points).
>
> It is, however, possible to generate a forecast manually based on
> fixed-effects estimates.  The following script illustrates.
>
> <script>
> open greene14_1.gdt
> # number of cross-sectional units
> nunits = max($unit)
> # number of time periods
> T = $nobs/nunits
> logs C Q PF
> list X = l_Q l_PF LF
> # estimate on data up to 1979
> smpl year < 1980 --restrict
> panel l_C 0 X
> # retrieve fitted values
> series yh = $yhat
> # plus the per-unit intercepts
> series ah = $ahat
> # and the coefficients on X
> matrix b = $coeff[2:]
> # restore full time-series length
> smpl --full
> # expand the per-unit intercepts
> loop i=1..nunits
>  loop t=11..T
>    k = T*(i-1)+t
>    ah[k] = ah[k-1]
>  endloop
> endloop
> series Xb = {X}*b + ah
> print -o yh Xb
> </script>
>
> This script shows that the constructed forecast series "Xb"
> agrees with the fitted values obtained via $yhat within sample.
>
> Allin Cottrell
>
>
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>



>
> Nenhum vírus encontrado nessa mensagem recebida.
> Verificado por AVG - www.avgbrasil.com.br
> Versão: 9.0.791 / Banco de dados de vírus: 271.1.1/2762 - Data de 
> Lançamento: 03/21/10 16:33:00
> 


--===============2431558399929051554==--


From cottrell@wfu.edu Sun Mar 21 22:32:40 2010
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sun, 21 Mar 2010 22:32:39 -0400
Message-ID: <Pine.A41.4.58.1003212225520.2748510@f1n11.sp2net.wfu.edu>
In-Reply-To: 7A176890E561476BA1B42F9DFF3E9327@RicardoPC
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On Thu, 21 Aug 2008, [iso-8859-1] Ricardo Gonçalves Silva wrote:

> Thanks so much. I will try the script now.
> Only a newbie question: the fcasts generated are out-of-sample, right?

Yes, the William Greene dataset I used has data for 6 firms from
1970 to 1984. My script estimates the fixed-effects model over the
range 1970 to 1979, then generates forecasts for 1970-1984.

I produced "forecasts" for all years just to show that the
in-sample values agree with $yhat, but presumably it's the out of
sample values that are of most interest.

Allin Cottrell




--===============0400071984475489053==--


From ricardogs@terra.com.br Sun Mar 21 23:13:30 2010
From: Ricardo =?utf-8?q?Gon=C3=A7alves?= Silva <ricardogs@terra.com.br>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Mon, 22 Mar 2010 03:13:30 +0000
Message-ID: <C93D6638140243C293BC037FDED3D89F@RicardoPC>
In-Reply-To: Pine.A41.4.58.1003212225520.2748510@f1n11.sp2net.wfu.edu
MIME-Version: 1.0
Content-Type: multipart/mixed; boundary="===============8120215529925876948=="

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Ok, you restricted the sample over the range 1970 to 1979 to compare.
But I can easily use the script over all sample, i.e., 1970 to 1984, and 
generate forecasts from 1985-1988, ok?

Thanks

Rick

--------------------------------------------------
From: "Allin Cottrell" <cottrell(a)wfu.edu>
Sent: Sunday, March 21, 2010 11:32 PM
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] Fixed effects forecast

>
> On Thu, 21 Aug 2008, [iso-8859-1] Ricardo Gonçalves Silva wrote:
>
>> Thanks so much. I will try the script now.
>> Only a newbie question: the fcasts generated are out-of-sample, right?
>
> Yes, the William Greene dataset I used has data for 6 firms from
> 1970 to 1984. My script estimates the fixed-effects model over the
> range 1970 to 1979, then generates forecasts for 1970-1984.
>
> I produced "forecasts" for all years just to show that the
> in-sample values agree with $yhat, but presumably it's the out of
> sample values that are of most interest.
>
> Allin Cottrell
>
>
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>



>
> Nenhum vírus encontrado nessa mensagem recebida.
> Verificado por AVG - www.avgbrasil.com.br
> Versão: 9.0.791 / Banco de dados de vírus: 271.1.1/2762 - Data de 
> Lançamento: 03/21/10 16:33:00
> 


--===============8120215529925876948==--


From cottrell@wfu.edu Mon Mar 22 08:23:28 2010
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Mon, 22 Mar 2010 08:23:27 -0400
Message-ID: <Pine.A41.4.58.1003220821400.1880314@f1n11.sp2net.wfu.edu>
In-Reply-To: C93D6638140243C293BC037FDED3D89F@RicardoPC
MIME-Version: 1.0
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On Fri, 22 Aug 2008, [iso-8859-1] Ricardo Gonçalves Silva wrote:

> Ok, you restricted the sample over the range 1970 to 1979 to compare.
> But I can easily use the script over all sample, i.e., 1970 to 1984, and
> generate forecasts from 1985-1988, ok?

You can generate forecasts for 1985 to 1988 if you have values for
the regressors for that period.

Allin Cottrell



--===============3929418177117162604==--


From pindar@zedat.fu-berlin.de Tue Aug  9 13:33:02 2011
From: Leon Unger <pindar@zedat.fu-berlin.de>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Tue, 09 Aug 2011 19:33:07 +0200
Message-ID: <4E416F53.3080902@zedat.fu-berlin.de>
In-Reply-To: Pine.A41.4.58.1003212225520.2748510@f1n11.sp2net.wfu.edu
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From cottrell@wfu.edu Fri Aug 12 15:13:51 2011
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Fri, 12 Aug 2011 15:13:42 -0400
Message-ID: <alpine.LNX.2.00.1108121509270.3944@waverley.Belkin>
In-Reply-To: 4E416F53.3080902@zedat.fu-berlin.de
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On Tue, 9 Aug 2011, Leon Unger wrote:

> I want to calculate $V[\widehat{u_{ijt}}]$ for *Fixed Effect *models.
> In a first step I reproduce the forecast error variance of a pooled OLS 
> model.
> Using the following formula
>
> $V[\widehat{u_{ijt}}] = V[{\epsilon}] 
> +{{x_{ijt}}^{'}*V[\hat{\beta}]*{x_{ijt}}$
>
> which provided the same values as GRETL produces with $fcerr.
> Can I apply the same calculation after the Fixed Effect?

That would, I think, ignore the uncertainty due to estimation
of the fixed effects. One option would be to estimate the
fixed effects model manually, by adding the unit dummies to
the dataset and applying OLS (gretl estimates the FE model
by de-meaning the data).

Allin Cottrell

--===============5797125962380743384==--


From pindar@zedat.fu-berlin.de Sat Aug 13 04:26:34 2011
From: Leon Unger <pindar@zedat.fu-berlin.de>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sat, 13 Aug 2011 10:26:42 +0200
Message-ID: <4E463542.5020401@zedat.fu-berlin.de>
In-Reply-To: alpine.LNX.2.00.1108121509270.3944@waverley.Belkin
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--===============6910998950715295389==--


From pindar@zedat.fu-berlin.de Sat Aug 13 09:36:16 2011
From: Leon Unger <pindar@zedat.fu-berlin.de>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sat, 13 Aug 2011 15:36:24 +0200
Message-ID: <4E467DD8.4050901@zedat.fu-berlin.de>
In-Reply-To: 4E463542.5020401@zedat.fu-berlin.de
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From cottrell@wfu.edu Sat Aug 13 10:23:04 2011
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sat, 13 Aug 2011 10:22:57 -0400
Message-ID: <alpine.DEB.2.00.1108131014500.1782@myrtle>
In-Reply-To: 4E467DD8.4050901@zedat.fu-berlin.de
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On Sat, 13 Aug 2011, Leon Unger wrote:

> after investigating further - because the results were quite unsatisfactory - 
> I found out that:
>
> 1) there is no memory problem with creating the unit dummies if done via 
> 'dummify' (took millisecs for 865 dummies).
>    Using 'genr unitdum' even did not succeed when shrinking down the dataset 
> to only include 30 units. I guess there is some bug.

Could you send me the 30-unit dataset, please? I find I can provoke 
a memory allocation problem with "genr unitdum", but only if the 
dataset contains a huge number of panel units.

Allin

--===============8176682711207338327==--


From pindar@zedat.fu-berlin.de Sun Aug 14 04:46:42 2011
From: Leon Unger <pindar@zedat.fu-berlin.de>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Fixed effects forecast
Date: Sun, 14 Aug 2011 10:46:50 +0200
Message-ID: <4E478B7A.1080206@zedat.fu-berlin.de>
In-Reply-To: alpine.DEB.2.00.1108131014500.1782@myrtle
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