[Gretl-users] Re: robust time-series inference with gappy data (was Re: Re: How to apply the HAC option in Gretl?)

It’s a great team behind Gretl. Thank for the script. Torbj. Fra: Sven Schreiber <sven.schreiber(a)fu-berlin.de&gt; Sendt: 11. januar 2023 21:20 Til: gretl-users(a)gretlml.univpm.it Emne: [Gretl-users] Re: robust time-series inference with gappy data (was Re: Re: How to apply the HAC option in Gretl?) Am 11.01.2023 um 20:24 schrieb tobbenlorentzen(a)gmail.com <mailto:tobbenlorentzen@gmail.com> : Thank a lot to Allin and Sven for the programming work and making Gretl more flexible 😊 I presume the new feature is implemented in the Gretl 2022c-version. I can't take credit for the programming work here; in any case, gretl 2022c is the current version and does not have it yet. But 2023a will. In the meantime, the recent snapshots also have it, so you can try out the feature there. For example, let's take again Jack's little script: <hansl> nulldata 64 set seed 20221109 setobs 1 1 --special-time-series x = uniform() < 0.9 ? normal() : NA y = uniform() < 0.9 ? normal() : NA ols y const x --robust </hansl> Here's the output I'm getting with a snapshot (on Windows) from Jan 7th (sorry for the German, but you get the point): <output> Modell 1: KQ, benutze die Beobachtungen 1-64 (T = 53) Fehlende oder unvollständige Beobachtungen entfernt: 11 Abhängige Variable: y HAC Standardfehler, Bandbreite 2, Bartlett-Kern Observations not contiguous: ES method used Koeffizient Std.-fehler t-Quotient p-Wert ------------------------------------------------------------ const −0.536282 0.114281 −4.693 2.06e-05 *** x −0.0521759 0.151110 −0.3453 0.7313 Mittel abhängige Var. −0.529945 Stdabw. abhängige Var. 1.023859 Summe quad. Residuen 54.38531 Stdfehler Regression 1.032656 R-Quadrat 0.002306 Korrigiertes R-Quadrat -0.017257 F(1, 51) 0.119221 P-Wert(F) 0.731301 Log-Likelihood −75.88750 Akaike-Kriterium 155.7750 Schwarz-Kriterium 159.7156 Hannan-Quinn-Kriterium 157.2904 </output> But this whole thing also works in the GUI. cheers sven