I agree that a separate Gretl-methods list is a good idea.

/Olle

On Mon, May 2, 2011 at 12:01 PM, <gretl-users-request@lists.wfu.edu> wrote:
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Today's Topics:

  1. Re: Johansen question (Summers, Peter)
  2. Re: Johansen question (Allin Cottrell)
  3. Re: Johansen question (Summers, Peter)
  4. Re: Johansen question (Henrique Andrade)
  5. Re: Johansen question (Talha Yalta)
  6. Re: Johansen question (Anutechia Asongu)
  7. Re: scatter plot with non-binary factor separation
     (Ignacio Diaz-Emparanza)


----------------------------------------------------------------------

Message: 1
Date: Sun, 1 May 2011 18:01:21 -0500
From: "Summers, Peter" <peter.summers@ttu.edu>
Subject: Re: [Gretl-users] Johansen question
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID:
       <8885DA157278484489B1EBC8B8C043E3010AADCBB80D@COTTUS.ttu.edu>
Content-Type: text/plain; charset="us-ascii"

Michael,

Your second point sounds like you're giving a Bayesian posterior probability interpretation to a frequentist hypothesis test, and I'm not sure that's warranted (it may be -- this is off the top of my head). Cointegration is one of the areas that I think makes a lot more sense from a Bayesian point of view, but I'll have to do some remedial reading before I can say any more about this particular issue.

I guess this also relates to your parenthetical 'point'.

PS
________________________________________
From: gretl-users-bounces@lists.wfu.edu [gretl-users-bounces@lists.wfu.edu] On Behalf Of MICHAEL BOLDIN [mboldin@temple.edu]
Sent: Sunday, May 01, 2011 3:54 PM
To: gretl-users@lists.wfu.edu
Subject: Re: [Gretl-users] Johansen question

>>For a bivariate case, if the trace test rejects c=0 and does not
>>reject c=1, I report c=1. If it is the other way around, then I report
>>c=0 as the test result.

>>As you know, sometimes the results can be contradictory so that c=0
>>and c=1 are rejected (or not rejected) simultaneously.

>>My question is that would it be OK to report "inconclusive" in those
>>cases? Or am I expected to follow another further procedure?

Three things to think about  (might make you recognize that your case
is more common than many realize):

1.You are searching for results using different lag numbers and the
null hypothesis probabilities are based on knowing the right lag
number beforehand.  Of course no one knows the right lag number in a
real study (only known in constructed data cases), but once you
perform a search you should be willing to be skeptical of the test
statistic probabilities.

2. Not rejecting both c=0 and =1 is not an anomaly if you understand
you are only computing the odds each hypothesis is incorrect.  You are
not computing the odds of 'correctness' given the results from the
other test.  Failing to reject at the 5% level is just that-- failure
to say an hypothesis is blatantly wrong (+ recognizing point 1 that
the 5% number may be misleading).

3. Deciding c=1 vs c=0,  i.e. testing whether two time series need to
be differenced or do not need to be differenced to create a stationary
cointegrating relationship is often not as interesting or
controversial as researchers believe it is.  Assuming you are only
constructing the co-integrating vector for modeling purposes and this
is a first step, you  might find similar results either way.  Or once
one understands the data and its source you might conclude c=0 or c=1
is implausible.   For example, one might reject c=0 and accept c=1 (or
vice-versa) when testing whether the UK and the US$ price levels are
cointegrated, when the true answer depends on how accurately the price
levels are computed.    (I.e. I'd argue they must be differenced at
least once to control for measurement differences before seeing any
Johansen tests.)

(this post might be considered a test of whether an econometric
methodology list connected to GRETL would be worthwhile or fills a
need).
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------------------------------

Message: 2
Date: Sun, 1 May 2011 19:29:00 -0400 (EDT)
From: Allin Cottrell <cottrell@wfu.edu>
Subject: Re: [Gretl-users] Johansen question
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <Pine.A41.4.58.1105011915100.663632@f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=US-ASCII

On Sun, 1 May 2011, MICHAEL BOLDIN wrote:

> (this post might be considered a test of whether an econometric
> methodology list connected to GRETL would be worthwhile or fills a
> need).

That's an interesting question. Participants in the gretl-users
list are generally tolerant (up to a point) of questions that are
not really gretl-specific. But general questions of econometric
methodology don't fall within the currently advertised purpose of
this list.

I wouldn't mind setting up a parallel list for methodological
questions (as you say, "connected to gretl") if people think (a)
that would be useful, and (b) it's better not to use gretl-users
for this purpose. (If there were another list to which we could
refer methodological queries we could just do so, but so far as I
know there isn't really such a thing.)

Thoughts? (And if positive, suggestions for a name for the list?)

Allin Cottrell


------------------------------

Message: 3
Date: Sun, 1 May 2011 21:10:38 -0500
From: "Summers, Peter" <peter.summers@ttu.edu>
Subject: Re: [Gretl-users] Johansen question
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID:
       <8885DA157278484489B1EBC8B8C043E3010AADCBB80E@COTTUS.ttu.edu>
Content-Type: text/plain; charset="us-ascii"

If positive, how about 'gretl-methods'?

PS
________________________________________
From: gretl-users-bounces@lists.wfu.edu [gretl-users-bounces@lists.wfu.edu] On Behalf Of Allin Cottrell [cottrell@wfu.edu]
Sent: Sunday, May 01, 2011 6:29 PM
To: Gretl list
Subject: Re: [Gretl-users] Johansen question

On Sun, 1 May 2011, MICHAEL BOLDIN wrote:

> (this post might be considered a test of whether an econometric
> methodology list connected to GRETL would be worthwhile or fills a
> need).

That's an interesting question. Participants in the gretl-users
list are generally tolerant (up to a point) of questions that are
not really gretl-specific. But general questions of econometric
methodology don't fall within the currently advertised purpose of
this list.

I wouldn't mind setting up a parallel list for methodological
questions (as you say, "connected to gretl") if people think (a)
that would be useful, and (b) it's better not to use gretl-users
for this purpose. (If there were another list to which we could
refer methodological queries we could just do so, but so far as I
know there isn't really such a thing.)

Thoughts? (And if positive, suggestions for a name for the list?)

Allin Cottrell
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Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users



------------------------------

Message: 4
Date: Mon, 2 May 2011 00:02:14 -0300
From: Henrique Andrade <henrique.coelho@gmail.com>
Subject: Re: [Gretl-users] Johansen question
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <BANLkTikmR4ExbWFMPXLQgzBnK4ERzXrK7w@mail.gmail.com>
Content-Type: text/plain; charset="iso-8859-1"

Em 1 de maio de 2011 Peter <peter.summers@ttu.edu> escreveu:

If positive, how about 'gretl-methods'?
>

Good suggestion!

Best,
--
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
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Message: 5
Date: Mon, 2 May 2011 08:14:47 +0300
From: Talha Yalta <talhayalta@gmail.com>
Subject: Re: [Gretl-users] Johansen question
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <BANLkTi=TB0ziitgmGp0KpHkguEhMiN0giQ@mail.gmail.com>
Content-Type: text/plain; charset=windows-1252

This would benefit young and relatively less experienced researchers like me.
Cheers
Talha



2011/5/2 Henrique Andrade <henrique.coelho@gmail.com>:
> Em 1 de maio de 2011 Peter <peter.summers@ttu.edu> escreveu:
>>
>> If positive, how about 'gretl-methods'?
>
> Good suggestion!
> Best,
> --
> Henrique C. de Andrade
> Doutorando em Economia Aplicada
> Universidade Federal do Rio Grande do Sul
> www.ufrgs.br/ppge
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users@lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>



--
?An expert is a person who has made all the mistakes that can be made
in a very narrow field.? - Niels Bohr (1885-1962)
--



------------------------------

Message: 6
Date: Mon, 2 May 2011 01:43:33 -0700 (PDT)
From: Anutechia Asongu <simplice_peace@yahoo.com>
Subject: Re: [Gretl-users] Johansen question
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <253387.3666.qm@web110311.mail.gq1.yahoo.com>
Content-Type: text/plain; charset="utf-8"

Me too

--- On Sun, 5/1/11, Talha Yalta <talhayalta@gmail.com> wrote:

From: Talha Yalta <talhayalta@gmail.com>
Subject: Re: [Gretl-users] Johansen question
To: "Gretl list" <gretl-users@lists.wfu.edu>
Date: Sunday, May 1, 2011, 10:14 PM

This would benefit young and relatively less experienced researchers like me.
Cheers
Talha



2011/5/2 Henrique Andrade <henrique.coelho@gmail.com>:
> Em 1 de maio de 2011 Peter <peter.summers@ttu.edu> escreveu:
>>
>> If positive, how about 'gretl-methods'?
>
> Good suggestion!
> Best,
> --
> Henrique C. de Andrade
> Doutorando em Economia Aplicada
> Universidade Federal do Rio Grande do Sul
> www.ufrgs.br/ppge
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users@lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>



--
?An expert is a person who has made all the mistakes that can be made
in a very narrow field.? - Niels Bohr (1885-1962)
--

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------------------------------

Message: 7
Date: Mon, 02 May 2011 12:01:54 +0200
From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza@ehu.es>
Subject: Re: [Gretl-users] scatter plot with non-binary factor
       separation
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <4DBE8112.40504@ehu.es>
Content-Type: text/plain; charset=windows-1250; format=flowed

El 29/04/11 20:37, Allin Cottrell escribi?:
>
> OK, now in CVS and snapshots you can use any discrete variable,
> not just a 0/1 dummy, with gnuplot and the --dummy option.
>
> In the same line of business I've added a --factorized option for
> the boxplot command, and enhanced the GUI boxplot options (e.g.,
> on right-clicking a variable and selecting Boxplot).
>
> Allin

I have tried  the new factorized plot, an I am obtaining this error:

gnuplot PIB08 pob08 Cod_prov --dummy
set xrange [1.797693135e+308:1.797693135e+308]
            ^
"/home/ignacio/.gretl/gpttmp.XpUlk9", line 17: undefined value

Cod_prov is a variable with three integer values, that I marked as
discrete in the "attributes" dialog. I must say I am obtaining this
error when I work with a dataset formed by 431 variables. I prepared a
dataset with only this three variables for sending to this list, but I
surprisingly found that the command works OK for this small dataset.
PIB08 and pob08 are variables with rather "normal" values and without
any missing.

By other side, I had no problem with the new "factorized boxplot"
although using the large dataset.





--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es






------------------------------

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