[Gretl-users] contributed package BoxCoxFuncForm updated
Dear all,
this is to let you know that the contributed function package
BoxCoxFuncForm by Jürgen Malitte and myself has been recently updated to
version 0.5 and is available on the gretl package server from within the
gretl program as usual. Quoting from the help text:
This package “BoxCoxFuncForm” has two related features:
1. Provide a specification or goodness-of-fit test assessing two OLS
specifications, one where the dependent variable y and the set of
regressors in X are left unchanged (levels), and one where logs of y and
X are taken. (LevelLogTest)
2. Estimate by Maximum Likelihood the optimal Box-Cox transformations of
the dependent and/or independent X variables of a regression. A special
case of this is to determine the optimal transformation parameter of a
single variable (which is internally regressed on nothing but a
constant term). (BoxCoxForm)
...
This latter possibility of analyzing a single series is actually the
main new feature of this version, apart from some internal improvements.
Oh, and standard errors for the estimated transformation parameters are
now also given (for the BoxCoxForm part).
cheers
sven