[Gretl-users] Re: About the PMG package
On Wed, 24 Mar 2021, Reynaldo Senra wrote:
Dear professors Lucchetti and Schreiber,
Very much thank you for your quick responses. Attached is a screenshot with Eviews and
Gretl. As you will see, everything is identical with the long run and loading
coefficients. However, the"fullcoeffs" output only
has identical coefficients for the long run estimates but I dont know which are short run
estimates because no coefficients are similar to the ones in Eviews and
"fullcoeffs" does not specify which are short and long
run coefficients (of course I know which are long run because of the output). Indeed,
apparently, "fullcoeffs" does not report the standard errors.
Maybe the way the sort run coefficients are not obtained by OLS in Eviews. I don't
know, everything is quite confusing for me.
What Eviews does is not at all clear to me. Could you (a) send us the
relevant portion of trhe Eviews documentation and/or (b) try to run the
example reported in the sample script for the package (the one replicating
Pesaran et al, 1999) and show us what Eviews gives as "short run
coefficients"?
I have the feeling (but I may well be wrong) that Eviews uses the PMG
method for estimating the long-run parameters and the loadings and then
runs a pooled model for producing the short-run parameters. Something like
this (adapted from the PMG sample script):
<hansl>
set verbose off
include PMG.gfn
set verbose off
open oecddata.gdt --frompkg=PMG
list X = LNDI DP
scalar commonlag = 1
bundle b = PMG(LPC, X, commonlag)
phi = b.avephi
series z = LPC - lincomb(X, b.lrcoeff)
depvar = diff(LPC) - phi * z(-1)
list dX = diff(X)
ols depvar const dX
</hansl>
or possibly, using "panel" instead of "ols". But again, I'm only
guessing
(and besides: I would be a bit skeptical about the statistical correctness
of such a procedure, but I admit I haven't given it much thought).
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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
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