Re: [Gretl-users] Bug with leads of first differences in panels?

On Mon, 6 Dec 2010, Giuseppe Vittucci wrote: > Ok. I replicated the bug with the greenedataset. > Try the following: > > open greene14_1.gdt # a panel dataset > logs C > diff l_C(+1) > print l_C l_C1 d_l_C1 --byobs Thanks, now I see your point. This is now fixed in CVS and snapshots.

> > One point to note is that if you take the first difference of a > > series previously defined as a lead you lose an observation > > unnecessarily at the start of the data. You can preserve the extra > > observation by doing, e.g. > > > > d_l_C1 = l_C(+1) - l_C > > Oh, thanks. I didn't realize it cause in DOLS you usually generate the > same number of leads and lags and therefore it always happens to lose > some initial and final observation. > > I was actually running the two commands this way because I needed an > easy way to generate and control lags and leads of first differenced > variables for DOLS. > I thought the easiest way in gretl was: > > diff l_h(-2 to +2) l_sd(-2 to +2) l_sf(-2 to +2) > ols l_tfp du_* l_h l_sd l_sf d_* --robust > > Indeed, if I first take differences: > > diff l_h l_sd l_sf > > One can easy generate lags (with the appropriate command), but not leads. > Is there a better way to proceed? Hmm, it might be nice to have a command or function that provides lags and/or leads in the way that the lags command and function work for lags only. It's a pity that we made the lag order the first argument to "lags" -- otherwise we could have implemented this as a simple extension of what we have already. I'll have to think about this. Allin Cottrell