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Today's Topics:
1. Re: User Guide Versionand other documentation and Gretl 2016c
(Sven Schreiber)
2. Re: F-test: Fixed Effects vs Pooled OLS (Sven Schreiber)
3. Re: F-test: Fixed Effects vs Pooled OLS (Bruno Gobeil)
----------------------------------------------------------------------
Message: 1
Date: Wed, 20 Jul 2016 16:27:05 +0200
From: Sven Schreiber <svetosch@gmx.net>
To: gretl-users@lists.wfu.edu
Subject: Re: [Gretl-users] User Guide Versionand other documentation
and Gretl 2016c
Message-ID: <f581fb81-6b98-a1ea-2ea7-16167705c9ac@gmx.net>
Content-Type: text/plain; charset=windows-1252; format=flowed
Am 16.07.2016 um 23:41 schrieb George Matysiak:
> Having installed Gretl 2016c I notice that the User Guide is dated March
> 2016, as is the Command Reference, Hansl Primer and Package Function
> Guide. Are the latest versions not automatically installed on a Gretl
> upodate? Thanks.
>
Sorry for the non-response, apparently it's vacation time. I presume
you're using Windows. If you uninstall the old gretl version first, then
it should be the latest pdf versions. If you're as lazy as I am and
simply install the new version over the old one then not necessarily.
You could manually delete the pdfs and then gretl will (try to) download
the current versions when you select the corresponding menu items.
cheers,
sven
------------------------------
Message: 2
Date: Wed, 20 Jul 2016 16:35:33 +0200
From: Sven Schreiber <svetosch@gmx.net>
To: gretl-users@lists.wfu.edu
Subject: Re: [Gretl-users] F-test: Fixed Effects vs Pooled OLS
Message-ID: <4ce96501-77fa-eb0b-ce9c-da970cd4a2d0@gmx.net>
Content-Type: text/plain; charset=windows-1252; format=flowed
Am 20.07.2016 um 15:28 schrieb Bruno Gobeil:
> Hello!
>
>
>
> I would like to better understand the rational for using the following
> formula for determining the denominator degrees of freedom for the
> F-test: n(t-1)-(k-1); where n is the number of regions, t the number of
> years, k the number of parameters, including the constant. I thought
> that the use of the de-meaned data approach compared to LSDV approach
> for the fixed effects model would lead to a higher number of denominator
> degrees of freedom, as suggested in the Gretl Guide, with the following
> formula: nt-k.
>
If I understand your question correctly, then here is my answer: LSDV
and de-meaned data fixed effects ("within" estimation) are equivalent
for testing purposes. To put it differently, de-meaning is also a
statistical estimation procedure, because you do not know the expected
population values a priori and hence you have to estimate them via the
arithmetic means. Hence you cannot gain d.o.f. by the within/de-meaned
estimator.
This is not gretl-specific, of course.
hth,
sven
------------------------------
Message: 3
Date: Wed, 20 Jul 2016 14:41:00 +0000
From: Bruno Gobeil <bruno.gobeil@dunsky.com>
To: Gretl list <gretl-users@lists.wfu.edu>
Subject: Re: [Gretl-users] F-test: Fixed Effects vs Pooled OLS
Message-ID:
<BLUPR0401MB1713A32523F2BE9B4BE69955EB080@BLUPR0401MB1713.namprd04.prod.outlook.com>
Content-Type: text/plain; charset="iso-8859-1"
Thanks very much for your quick response. It is much appreciated.
Regards,
Bruno Gobeil
Senior Consultant | Consultant principal
DUNSKY ENERGY CONSULTING | DUNSKY EXPERTISE EN ?NERGIE
[t] 514.504.9030??*26?? [f] 514.289.2665?? [e] bruno.gobeil@dunsky.com
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-----Original Message-----
From: gretl-users-bounces@lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Sven Schreiber
Sent: July 20, 2016 10:36 AM
To: gretl-users@lists.wfu.edu
Subject: Re: [Gretl-users] F-test: Fixed Effects vs Pooled OLS
Am 20.07.2016 um 15:28 schrieb Bruno Gobeil:
> Hello!
>
>
>
> I would like to better understand the rational for using the following
> formula for determining the denominator degrees of freedom for the
> F-test: n(t-1)-(k-1); where n is the number of regions, t the number
> of years, k the number of parameters, including the constant. I
> thought that the use of the de-meaned data approach compared to LSDV
> approach for the fixed effects model would lead to a higher number of
> denominator degrees of freedom, as suggested in the Gretl Guide, with
> the following
> formula: nt-k.
>
If I understand your question correctly, then here is my answer: LSDV and de-meaned data fixed effects ("within" estimation) are equivalent for testing purposes. To put it differently, de-meaning is also a statistical estimation procedure, because you do not know the expected population values a priori and hence you have to estimate them via the arithmetic means. Hence you cannot gain d.o.f. by the within/de-meaned estimator.
This is not gretl-specific, of course.
hth,
sven
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