[Gretl-users] confidence intervals in NLS
Allin,
Please see PRISM 4 manual that may be downloaded for free from
http://www.graphpad.com/manuals/prism4/regressionbook.pdf
In it (pp. 97 to 103), you will find references to asymptotic standard
errors and confidence intervals in the case of STATIC models estimated
via NLS.
I have also attached the NCSS curve fitting manual to this message (to
be received in your private email). In it you will find references to
bootstrapping for confidence intervals.
To me, it seems that both manuals refer to the SAME thing.
I was referring to the possibility of adding similar functionality to
gretl, but please keep in mind that I am a USER of econometrics - I
certainly do not have a PhD on the subject.
John Paravantis
Allin Cottrell wrote:
On Tue, 30 Dec 2008, Allin Cottrell wrote:
> On Tue, 30 Dec 2008, John Paravantis wrote:
>
>
>> As far as I am concerned, I would very much like it if you added
>> bootstrapping capabilities to gretl so that asymptotic confidence
>> intervals could be plotted.
>>
> John, what exactly do you mean by "asymptotic confidence
> intervals" in the context of NLS? Can you give a reference?
> Bootstrapping would presumably not produce such intervals; they
> would be empirical rather than based on asymptotic theory.
>
I should perhaps add: I was talking about the possibility of
bootstrapping specifically in the context of _dynamic_ NLS models,
where the standard error of the regression is clearly an
underestimate of the uncertainty of a dynamic forecast, even in
the limit where (let's suppose) parameter uncertainty goes to nil.
Are you talking about dynamic or static models?
Allin.
Attachments:
- CurveFitting-General.pdf (application/pdf — 351.3 KB)