Re: [Gretl-users] Sequentially dropping insignifcant regressors

Datum: Thu, 6 Aug 2009 11:24:59 -0400 (EDT) Von: Allin Cottrell <cottrell(a)wfu.edu&gt; An: Gretl list <gretl-users(a)lists.wfu.edu&gt; Betreff: Re: [Gretl-users] Sequentially dropping insignifcant regressors

On Thu, 6 Aug 2009, Sven Schreiber wrote: > Allin Cottrell schrieb: > > >> > >> ----- > >> Hi, I have just discovered gretl. It is quite convenient that > >> insignificant regressors can be sequentially dropped from a > >> regression. However, sometimes want does not want to drop certain > >> regressors right away, even if they are insignificant (e.g. variables > >> in levels in an unrestricted error correction model). Is it possible > >> to exclude some variables from the routine? How? > > > > You can do this quite easily via a script. I'm not sure it's > > worth implementing as a built-in command. > > sorry Allin, I don't see how, at least not in combination with the > built-in auto omit feature. (It's clear that a handmade script can be > written for a specific situation, but then it may be no quicker than > doing the sequential drop by hand.) Agreed, a script would have to be written from scratch and could not use the auto-omit feature. Thinking about this some more I realized that one variant of the request was trivial to implement. Namely, if you give a list to the omit command along with the --auto option, the automatic elimination is confined to the listed variables. I've added that in CVS. In that context I realized that there was a hole in "genr" with regard to lists: you couldn't create a new list by subtraction of one list from another (although you could subtract an individual variable from a list). That's now fixed, so if you're thinking in terms of a protected subset of variables that should _not_ be omitted you can do this sort of thing: list X = x* ols y 0 X list protect = x3 x4 list omitv = X - protect omit omitv --auto This might be a little awkward, but then I think it could be confusing to switch the sense of the list supplied to omit in the case where the --auto flag is given. And we have a precedent in several commands for "list given means operate on the listed variables; no list given means operate on all relevant variables", which is how omit --auto now works in CVS. Allin _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users