Re: [Gretl-users] GRETL problems about sign comparison
On Thu, 1 Apr 2010, Riccardo (Jack) Lucchetti wrote:
On Thu, 1 Apr 2010, Giorgio Gozzi wrote:
>
> Hi everone.. I am recently trying to use and learn GRETL..I need help..when i try�
to confront the sign of the return of the time series of index FTSEMIB with the sign of
the
> time series of the returns of every of the of every of its 40 elementary members. In
order to count how many times there is an agreement between the sign of each return and
> that one of index FTSEMIB.
>
> I wanted to resolve the problem using the function SIGN� but such function lacks in
the directory of Gretl.
>
> I will be very pleased to have some suggestion to this issue.
How about the following?
<script>
series agree = (ret * FTSEMIB) > 0
</script>
That's nice. The following may be overkill, but it handles a list
of series of arbitrary length (as in Giorgio's 40 components of
an index).
function series all_signs_same (series y, list L)
series ret = 1
scalar n = $nobs
loop t=1..n
loop foreach i L
prod = y[t] * L.$i[t]
if (missing(prod))
ret[t] = NA
break
elif prod < 0
ret[t] = 0
break
endif
endloop
endloop
return ret
end function
illustrative use:
open data9-7
series y = diff(QNC)
list L = 2 3 4
L = diff(L)
series same = all_signs_same(y, L)
printf "proportion of obs all same sign = %g\n", mean(same)
print y d_* same -o
Allin Cottrell