Re: [Gretl-users] Detecting large residuals

Here's a sample script that may help. It uses gretl's new matrix facility (in CVS and the Windows snapshot). open data9-7 set echo off # 3-equation VAR myvar <- var 2 PRICE INCOME PRIME # save residuals matrix and cross-equation residual # variance matrix matrix vresid = myvar.$uhat matrix var_vcv = myvar.$vcv # get per-equation standard errors matrix vse = sqrt(diag(var_vcv)) # the VAR residuals have two missing observations at the # start of the data; advance the sample start to skip # them smpl +2 ; loop i=1..3 --quiet # extract the columns of vresid as series series uhat$i = vresid[,$i] # extract the per-equation residual standard errors scalar se = vse[$i] # make standardized residuals series series ustd$i = uhat$i / se # make dummy series identifying "big" residuals series ubig$i = abs(ustd$i) > 2.0 endloop # print the residuals info in various forms print uhat1 uhat2 uhat3 --byobs print ustd1 ustd2 ustd3 --byobs print ubig1 ubig2 ubig3 --byobs # count big residuals per equation loop i=1..3 --quiet scalar cbig = sum(ubig$i) printf "Equation $i has %d standardized residuals > 2.0\n", cbig endloop Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)ricardo.ecn.wfu.edu http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users