Re: [Gretl-users] Using a generated dummy in following estimations
On Tue, 8 Apr 2008, Allin Cottrell wrote:
When we do hsk we start by taking the residuals from OLS
estimation, squaring them, and taking logs. If the model
contains an observation-specific dummy variable, the residual at
that observation will be exactly zero, yielding a zero square
and a log of minus infinity.
I'm not sure what to do about that...
Here's what I've done so far: if we come across a residual of
exactly zero in hsk, we check if that observation is dummied out.
If so, we drop it from the sample. That's OK. If it's not
dummied out, I'm setting the "log of squared uhat" to the
arbitrary value of -1.0e+16. That's probably not so OK.
Suggestions welcome.
Allin.