Re: [Gretl-users] Help - estimation of Profile likelihood function for TVECM

Thank you for your reply! Indeed, my uploaded file, which you can't open. I just copy text from file here that you can read: I want to build script (with loop programming) which will calculate just entire profile likelihood function in Gretl. The other estimations I can perform myself. Here is my request formulated below: # Model: TVECM (Threshold Vector Error Correction Model) # Name of my variables: dependent variable - Y (Price on market 1); independent variables - X (Price on market 2) and ECT (Error correction term) # My data sample runs from 2006:10 to 2014:08 # First, I need to generate variables "difference of Y", "difference of X", "Lagged value of ECT", "lagged value of diff_Y", and "lagged value of diff_X" # "Lagged value of ECT" is my threshold variable - Threshold value must come from it. # My final target is to *calculate the entire profile likelihood function of ols regression and save results in a separate file* (let's say "LF.gdt") # Below is my guess how the process must be solved. Could you adjust it to my data and help me to complete it? ------------script---------------- loop i=................. --progressive --quiet genr ........................... ols ............................... genr LF = $lnl store "C:\.....\.....\......\LF.gdt" LF endloop Best, Miranda On Mon, May 18, 2015 at 12:06 PM, Riccardo (Jack) Lucchetti < r.lucchetti(a)univpm.it&gt; wrote: > On Mon, 18 May 2015, Miranda Svanidze wrote: > > Hello, >> I am new here. >> My problem is following: I want to calculate entire profile likelihood >> function (and then find maximum value) in order to find threshold >> estimate >> and run TVECM model. Therefore I want to build script (with loop >> programming) which will calculate just entire profile likelihood function >> in Gretl. The other estimations I can perform myself. >> Here is my request formulated below: >> # Model: TVECM (Threshold Vector Error Correction Model) >> # Name of my variables: dependent variable - Y (Price on market >> 1); independent variables - X (Price on market 2) and ECT (Error >> correction >> term) >> # My data sample runs from 2006:10 to 2014:08 >> # First, I need to generate variables "difference of Y", "difference of >> X", >> "Lagged value of ECT", "lagged value of diff_Y", and "lagged value of >> diff_X" >> # "Lagged value of ECT" is my threshold variable - Threshold value must >> come from it. >> # My final target is to *calculate the entire profile likelihood function >> of ols regression and save results in a separate file* (let's say >> "LF.gdt") >> # Below is my guess how the process must be solved. Could you adjust it >> to >> my data and help me to complete? >> ------------script---------------- >> loop i=2006:10..2014:08 --progressive --quiet >> genr >> ols >> genr LF = $lnl >> store "C:\.....\.....\......\LF.gdt" LF >> endloop >> >> Thank you! >> Kind regards, >> Miranda >> > > I'm sorry, you'll have to be more explicit that this. Posting your > complete script would be much better; from what you posted I don't > understand what you're trying to do, let alone what the problem is. > > > ------------------------------------------------------- > 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 > ------------------------------------------------------- > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users >