Hi there,

I want to calculate
for Fixed Effect models.
In a first step I reproduce the forecast error variance of a pooled OLS model.
Using the following formula

which provided the same values as GRETL produces with $fcerr. Can I apply the same calculation after the Fixed Effect? I'm using the latest snapshot and forecast error for Fixed Effect models are not available. Hence, I doubt whether the above formula applies for FE models too. How are they then to be computed? Here is the script: open greene14_1.gdt smpl full "FE " <- panel log(C) 0 log(PF) --fixed-effects --robust --quiet series FE_r =$uhat
series FE_h = $yhat #series FE_fcse =$fcerr
matrix FE_v = $vcv scalar FE_e =$sigma
series FE_a = $ahat list FE_xlist =$xlist
matrix FE_x ={ FE_xlist }
#just for the first id
matrix FE_x_1 =FE_x[1,]
matrix FE_fv_1 = FE_e^2 +FE_x_1*FE_v*FE_x_1'
matrix FE_fse_1=sqrt(FE_fv_1)

"PCS " <- ols log(C) 0 log(PF) --robust --quiet
series PCS_r = $uhat series PCS_h =$yhat
series PCS_fcse = $fcerr -> this was working was the last snapshot I used, now it is again not available. Could you change that again? matrix PCS_v =$vcv
scalar PCS_e = $sigma list PCS_xlist =$xlist
matrix PCS_x ={ PCS_xlist }
#just for the first id
matrix PCS_x_1 =PCS_x[1,]
matrix PCS_fv_1 = PCS_e^2 +PCS_x_1*PCS_v*PCS_x_1'
matrix PCS_fse_1=sqrt(PCS_fv_1)

Leon

Am 22.03.2010 03:32, schrieb Allin Cottrell:
On Thu, 21 Aug 2008, [iso-8859-1] Ricardo Gonçalves Silva wrote:


Thanks so much. I will try the script now.
Only a newbie question: the fcasts generated are out-of-sample, right?

Yes, the William Greene dataset I used has data for 6 firms from
1970 to 1984. My script estimates the fixed-effects model over the
range 1970 to 1979, then generates forecasts for 1970-1984.

I produced "forecasts" for all years just to show that the
in-sample values agree with \$yhat, but presumably it's the out of
sample values that are of most interest.

Allin Cottrell

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