It’s a great team behind Gretl. Thank for the script.

Torbj.

Fra: Sven Schreiber <sven.schreiber@fu-berlin.de>
Sendt: 11. januar 2023 21:20
Til: gretl-users@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@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