Re: [Gretl-users] Compute an integral
On Sun, 18 Nov 2012, Jean-Baptiste Combes wrote:
I am using Grelt 1.8.7 with Ubuntu and I am mainly using it for
teaching. With colleagues we are preparing tutorials.
Version 1.8.7 is pretty old by now. You might want to look at
http://gretl.sourceforge.net/ChangeLog.html to see what has
been improved/added/fixed since then.
One of the tutorial estimate a weibull model with the mle block. We
use
censored data on unemployment. I have heard that there is a "duration"
command but for teaching purposes we prefer to use the mle block. We are
quite keen on making sure students understand the different
contributions to the likelihood.
On top of that we would like them to estimate the mean time passed in
unemployment. The mean of a weibull distribution is not very easy to
compute by hand. Again I know that $yhat save exactly this after a
"duration" command but we are interested in doing it by hand.
How do you compute an integral within gretl?
Well, it depends on the integral: there's no built-in gretl
function that computes the integral of an arbitrary function.
But the expectation of the Weibull is exp(X*b) * G(1 + sigma)
where G denotes the gamma function, which is available in
gretl.
<hansl>
open recid.gdt -q
list X = const workprg priors tserved felon alcohol \
drugs black married educ age
duration durat X ; cens
series yhat = $yhat
matrix b = $coeff[1:$ncoeff-1]
series means = exp(lincomb(X,b)) * gamma(1+$sigma)
print yhat means -o
</hansl>
Allin Cottrell