Re: [Gretl-users] data mining with rolling regression and restricted coefficients
On Tue, 4 Sep 2012, Jan Tille wrote:
Thank you [Jack] for your answer and your useful comments, I
see the point your are making. [...] I understand that this
is quite bothering. Maybe it is not as simple as I thought
or at least not as simple to implement in Gretl.
I think Jack's point was the other way round: the procedure
you're talking could be interpreted in various ways so it's
hard to know what count as "right". But having decided on
that, it shouldn't be difficult to implement in gretl.
I have noticed by now, that the omit command works on the
unrestricted model only. I thought that using restrict
command first, and then the omit command would apply the
omit algorithm to the restricted model [...]
Your procedure illustrates why this is not possible in
general. If the "omit" command drops a variable that
participated in the prior restriction (e.g. that the
coefficients sum to 1), then what is gretl supposed to do?
Rather than simply using "omit", you need to decide how you're
going to respecify the restriction in case some terms are not
statistically significant.
Allin Cottrell