Thanks Allin, that clinches it:
Read datafile /usr/local/share/gretl/data/misc/denmark.gdt
Model 1: OLS, using observations 1975:1-1987:3 (T = 51)
Dependent variable: Y
coefficient std. error t-ratio p-value
----------------------------------------------------------
const 0.573197 0.457911 1.252 0.2179
time 0.000288957 0.000360372 0.8018 0.4274
Y_1 0.800428 0.153400 5.218 5.90e-06 ***
Y_2 0.120277 0.198738 0.6052 0.5485
Y_3 −0.0469882 0.180931 −0.2597 0.7964
Y_4 −0.213941 0.144448 −1.481 0.1464
X 0.336480 0.104987 3.205 0.0027 ***
X_1 −0.0594923 0.157019 −0.3789 0.7068
X_2 −0.430368 0.150459 −2.860 0.0067 ***
X_3 0.0952069 0.161941 0.5879 0.5599
X_4 0.181183 0.135096 1.341 0.1874
Mean dependent var 5.959878 S.D. dependent var 0.069523
Sum squared resid 0.015477 S.E. of regression 0.019670
R-squared 0.935959 Adjusted R-squared 0.919949
F(10, 40) 58.46033 P-value(F) 1.11e-20
Log-likelihood 134.1900 Akaike criterion −246.3801
Schwarz criterion −225.1300 Hannan-Quinn −238.2598
rho −0.024300 Durbin-Watson 2.002194
Excluding the constant, p-value was highest for variable 10 (Y_3)
C
On 9 December 2016 at 03:47, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Fri, 9 Dec 2016, Clive Nicholas wrote:
Thanks Jack,
>
> The reformatting works, but then chokes on
>
> varsim(Y, ARbeta, lX, Xbeta, lD, Dbeta, e,
>>
> The symbol 'e' is undefined
>
> Error executing script: halting
>
>> varsim(Y, ARbeta, lX, Xbeta, lD, Dbeta, e, p, &ysim)
>>
>
> And indeed 'e' is not defined...
>
You're right, Artur's example does not run as posted. It's not totally
obvious to me where the missing "e" series is supposed to come from, though
maybe one should insert
series e = resample($uhat)
after the ols command?
Allin Cottrell
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--
Clive Nicholas
"My colleagues in the social sciences talk a great deal about methodology.
I prefer to call it style." -- Freeman J. Dyson