Re: [Gretl-users] New Windows snapshot - Again....
Regarding 1.
I tried to estimate VAR with endogenous, deterministics and exogenous
variables. After taht I decided to re-estimate the model again. I again
clicked on VAR module. Now I remooved exogenous variables form the exogenous
list and clicked Ok. The model was estimated ok. Now I decided to again
re-estimate my model. I clicked again on VAR module. Exogenous variables
were present and they shouldn't be because I remooved them in the second
re-estimation. So, the last estimation wasn't remembered (the first was).
Regarding 2.
Yes, you are wright. Maybe the solution is to put "Lags" in OLS module after
Add option and to put it down in 2SLS next to Robust std errors box for
example.
Regarding F test on zero restrictions.
Hmm..it will be great to have F test of zero restrictions for deterministics
(const, trend and seasonals) and for exogenous variables. This will be
"Bulls eye"!
John
From: Allin Cottrell <cottrell(a)wfu.edu>
Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
Subject: Re: [Gretl-users] New Windows snapshot - Again....
Date: Tue, 31 Jan 2006 12:30:29 -0500 (EST)
On Tue, 31 Jan 2006, john w wrote:
>1. Now constant, trend and seasonals are "remembered", but if you remoove
>some variable from a list in VAR and VECM module this is not "remembered".
>When re-estimateing again remooved variables are present. It will be
>better that Gretl "remembers" only the LAST estimated specification
I thought that was what gretl did. Could you give a specific "recipe" for
getting the behavior you describe (i.e. remove variable how, from which
list box)? Thanks.
>2. It will be better to put "Lags" settings option wright after
"Add"
>option in OLS module. It is more practical and the same logic is present
>in VAR and VECM module.
I think that may be better. It raises the question of how to handle IV
estimation ("two-stage least squares") -- where should be button be placed
in that case?
>Also try to consider the following suggestions:
>
>1. Now what is missing is the F test of zero restrictions for exogenous
>variables in VAR/VECM for every equatation and for a system as a whole !!!
>It will be a great help.
I take it you mean exogenous variable other than deterministic ones such as
constant and trend?
I'll get back to your VECM suggestions shortly.
Allin.
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