Re: [Gretl-users] omit --auto

El 16/07/11 02:46, Cottrell, Allin escribió: Yes there were omitted variables. I am seeing that I can repeat your script obtaining your same results, but with my data the lists of variables generadted before and after the 'omit' command is the same. Here are my results: <output> ? m1_ols <- ols renta2006 const capital l_regre l_regre2 m1_ols: OLS, using observations 1-250 (n = 192) Missing or incomplete observations dropped: 58 Dependent variable: renta2006 coefficient std. error t-ratio p-value --------------------------------------------------------------- const 14639.2 3270.20 4.477 1.69e-05 *** capital 224.908 1136.41 0.1979 0.8434 pibpc06 0.258699 0.190965 1.355 0.1780 GasT06_pc -7.69157 11.9757 -0.6423 0.5219 GasCo06_pc 8.53812 11.8751 0.7190 0.4735 GasCa06_pc 7.92740 11.7618 0.6740 0.5016 EstIndu06_pc -9.56127 19.6812 -0.4858 0.6280 EstCons06_pc -193.165 116.651 -1.656 0.1002 EstCom06_pc 219.689 107.176 2.050 0.0425 ** EstHos06_pc -424.834 225.760 -1.882 0.0622 * EstTrans06_pc 195.715 127.908 1.530 0.1285 EstInte06_pc -143.172 173.804 -0.8238 0.4116 EstOt06_pc 58.0083 98.6155 0.5882 0.5574 Emp_Ind06_pc -23587.9 16585.1 -1.422 0.1575 Emp_Con06_pc 5984.31 28232.8 0.2120 0.8325 Emp_Com06_pc -19324.2 14823.1 -1.304 0.1947 Emp_Hos06_pc 41439.1 15985.1 2.592 0.0107 ** Emp_Tra06_pc -47031.9 17412.0 -2.701 0.0079 *** Emp_Fin06_pc 14045.7 33464.9 0.4197 0.6754 Emp_OtS06_pc -32297.9 23291.0 -1.387 0.1680 Turis06_pc 1552.10 2171.71 0.7147 0.4761 Carga06_pc -4249.79 10086.2 -0.4213 0.6742 Par06_pc -62827.9 42745.2 -1.470 0.1441 Vpibpc06 -0.491249 0.210508 -2.334 0.0212 ** Gpibpc06 -0.198664 0.219040 -0.9070 0.3662 VGasT06_pc 3.35718 12.4759 0.2691 0.7883 GGasT06_pc 8.61628 12.1692 0.7080 0.4802 VGasCo06_pc -6.22659 12.4701 -0.4993 0.6184 GGasCo06_pc -10.4315 12.2720 -0.8500 0.3969 VGasCa06_pc -3.75115 12.2763 -0.3056 0.7604 GGasCa06_pc -8.71743 11.9407 -0.7301 0.4667 VEstIndu06_pc 31.8290 34.6712 0.9180 0.3604 GEstIndu06_pc -9.36813 35.8057 -0.2616 0.7940 VEstCons06_pc 104.586 127.755 0.8186 0.4145 GEstCons06_pc 148.486 130.305 1.140 0.2567 VEstCom06_pc -439.383 120.983 -3.632 0.0004 *** GEstCom06_pc -209.136 125.003 -1.673 0.0968 * VEstHos06_pc 669.718 262.448 2.552 0.0119 ** GEstHos06_pc 292.417 285.704 1.023 0.3080 VEstTrans06_pc -250.131 141.168 -1.772 0.0789 * GEstTrans06_pc -264.133 156.396 -1.689 0.0937 * VEstInte06_pc 477.038 177.869 2.682 0.0083 *** GEstInte06_pc 188.988 189.803 0.9957 0.3213 VEstOt06_pc -144.880 118.941 -1.218 0.2255 GEstOt06_pc 66.9161 132.162 0.5063 0.6135 VEmp_Ind06_pc 42232.4 18274.3 2.311 0.0225 ** GEmp_Ind06_pc 20613.5 19048.4 1.082 0.2813 VEmp_Con06_pc 13433.7 28989.7 0.4634 0.6439 GEmp_Con06_pc -622.595 31859.7 -0.01954 0.9844 VEmp_Com06_pc 40153.2 16791.7 2.391 0.0183 ** GEmp_Com06_pc 19805.3 17162.1 1.154 0.2507 VEmp_Hos06_pc -9065.46 23261.2 -0.3897 0.6974 GEmp_Hos06_pc -55686.8 26272.7 -2.120 0.0360 ** VEmp_Tra06_pc 64215.9 18688.7 3.436 0.0008 *** GEmp_Tra06_pc 41811.2 26335.8 1.588 0.1149 VEmp_Fin06_pc -28930.0 33943.7 -0.8523 0.3957 GEmp_Fin06_pc -13553.8 37773.6 -0.3588 0.7203 VEmp_OtS06_pc 60313.6 25886.5 2.330 0.0214 ** GEmp_OtS06_pc 25153.2 26955.1 0.9332 0.3525 VTuris06_pc -1845.25 2222.83 -0.8301 0.4080 GTuris06_pc -1335.91 2177.28 -0.6136 0.5406 VCarga06_pc 7311.69 10319.5 0.7085 0.4799 GCarga06_pc 3156.57 10110.4 0.3122 0.7554 VPar06_pc 43704.9 48815.4 0.8953 0.3723 GPar06_pc 54771.8 49922.0 1.097 0.2747 VConst 2431.35 3452.94 0.7041 0.4827 GConst -419.475 3655.47 -0.1148 0.9088 Mean dependent var 14207.78 S.D. dependent var 1869.337 Sum squared resid 2.41e+08 S.E. of regression 1387.303 R-squared 0.639551 Adjusted R-squared 0.449233 F(66, 125) 3.360446 P-value(F) 2.76e-09 Log-likelihood -1620.377 Akaike criterion 3374.754 Schwarz criterion 3593.007 Hannan-Quinn 3463.148 Excluding the constant, p-value was highest for variable 235 (GEmp_Con06_pc) m1_ols saved ? list XL1 = $xlist Generated list XL1 ? list XL1 print const capital pibpc06 GasT06_pc GasCo06_pc GasCa06_pc EstIndu06_pc \ EstCons06_pc EstCom06_pc EstHos06_pc EstTrans06_pc EstInte06_pc \ EstOt06_pc Emp_Ind06_pc Emp_Con06_pc Emp_Com06_pc Emp_Hos06_pc \ Emp_Tra06_pc Emp_Fin06_pc Emp_OtS06_pc Turis06_pc Carga06_pc Par06_pc \ Vpibpc06 Gpibpc06 VGasT06_pc GGasT06_pc VGasCo06_pc GGasCo06_pc \ VGasCa06_pc GGasCa06_pc VEstIndu06_pc GEstIndu06_pc VEstCons06_pc \ GEstCons06_pc VEstCom06_pc GEstCom06_pc VEstHos06_pc GEstHos06_pc \ VEstTrans06_pc GEstTrans06_pc VEstInte06_pc GEstInte06_pc VEstOt06_pc \ GEstOt06_pc VEmp_Ind06_pc GEmp_Ind06_pc VEmp_Con06_pc GEmp_Con06_pc \ VEmp_Com06_pc GEmp_Com06_pc VEmp_Hos06_pc GEmp_Hos06_pc VEmp_Tra06_pc \ GEmp_Tra06_pc VEmp_Fin06_pc GEmp_Fin06_pc VEmp_OtS06_pc GEmp_OtS06_pc \ VTuris06_pc GTuris06_pc VCarga06_pc GCarga06_pc VPar06_pc GPar06_pc \ VConst GConst ? omit --auto Sequential elimination using two-sided alpha = 0.10 Dropping GEmp_Con06_pc (p-value 0.984) Dropping GConst (p-value 0.895) Dropping capital (p-value 0.823) Dropping VGasT06_pc (p-value 0.804) Dropping GEstIndu06_pc (p-value 0.834) Dropping GCarga06_pc (p-value 0.747) Dropping GEmp_Fin06_pc (p-value 0.713) Dropping Emp_Fin06_pc (p-value 0.799) Dropping VGasCa06_pc (p-value 0.568) Dropping VEmp_Hos06_pc (p-value 0.605) Dropping Emp_Con06_pc (p-value 0.588) Dropping GEstOt06_pc (p-value 0.479) Dropping GTuris06_pc (p-value 0.476) Dropping EstInte06_pc (p-value 0.444) Dropping VTuris06_pc (p-value 0.324) Dropping Turis06_pc (p-value 0.478) Dropping Carga06_pc (p-value 0.694) Dropping EstOt06_pc (p-value 0.227) Dropping VEstCons06_pc (p-value 0.248) Dropping GEstCons06_pc (p-value 0.337) Dropping GEmp_Com06_pc (p-value 0.445) Dropping GEmp_OtS06_pc (p-value 0.533) Dropping Gpibpc06 (p-value 0.751) Dropping GEmp_Tra06_pc (p-value 0.438) Dropping Emp_Com06_pc (p-value 0.321) Dropping VConst (p-value 0.308) Dropping VEstOt06_pc (p-value 0.438) Dropping GPar06_pc (p-value 0.211) Dropping GEstTrans06_pc (p-value 0.393) Dropping EstTrans06_pc (p-value 0.726) Dropping VPar06_pc (p-value 0.347) Dropping VEstTrans06_pc (p-value 0.355) Dropping GEstCom06_pc (p-value 0.282) Dropping GEmp_Ind06_pc (p-value 0.279) Dropping Par06_pc (p-value 0.141) Dropping GEstHos06_pc (p-value 0.126) Model 2: OLS, using observations 1-250 (n = 192) Missing or incomplete observations dropped: 58 Dependent variable: renta2006 coefficient std. error t-ratio p-value --------------------------------------------------------------- const 15135.2 517.080 29.27 2.34e-66 *** pibpc06 0.0905194 0.0330375 2.740 0.0068 *** GasT06_pc -7.08718 2.86912 -2.470 0.0145 ** GasCo06_pc 6.78625 3.00902 2.255 0.0255 ** GasCa06_pc 7.09263 2.87351 2.468 0.0146 ** EstIndu06_pc -20.3169 7.95165 -2.555 0.0115 ** EstCons06_pc -98.3470 21.5002 -4.574 9.49e-06 *** EstCom06_pc 36.0169 17.2788 2.084 0.0387 ** EstHos06_pc -152.694 60.9441 -2.505 0.0132 ** Emp_Ind06_pc -7042.73 2985.53 -2.359 0.0195 ** Emp_Hos06_pc 33214.6 7775.64 4.272 3.31e-05 *** Emp_Tra06_pc -13461.2 6337.52 -2.124 0.0352 ** Emp_OtS06_pc -12023.7 4034.46 -2.980 0.0033 *** Vpibpc06 -0.330523 0.0836043 -3.953 0.0001 *** GGasT06_pc 7.87246 3.26083 2.414 0.0169 ** VGasCo06_pc -1.56709 0.836233 -1.874 0.0627 * GGasCo06_pc -8.21540 3.45846 -2.375 0.0187 ** GGasCa06_pc -7.56213 3.27700 -2.308 0.0223 ** VEstIndu06_pc 45.3765 25.9637 1.748 0.0824 * VEstCom06_pc -253.867 50.2312 -5.054 1.16e-06 *** VEstHos06_pc 404.973 119.907 3.377 0.0009 *** VEstInte06_pc 337.274 37.2952 9.043 4.66e-16 *** GEstInte06_pc 77.9347 41.3700 1.884 0.0614 * VEmp_Ind06_pc 26611.5 7197.75 3.697 0.0003 *** VEmp_Con06_pc 19243.0 6553.58 2.936 0.0038 *** VEmp_Com06_pc 21961.8 7255.67 3.027 0.0029 *** GEmp_Hos06_pc -45979.9 15967.2 -2.880 0.0045 *** VEmp_Tra06_pc 28686.6 8682.05 3.304 0.0012 *** VEmp_Fin06_pc -16798.0 4463.15 -3.764 0.0002 *** VEmp_OtS06_pc 40182.0 10340.9 3.886 0.0001 *** VCarga06_pc 1209.91 729.530 1.658 0.0992 * Mean dependent var 14207.78 S.D. dependent var 1869.337 Sum squared resid 2.82e+08 S.E. of regression 1323.776 R-squared 0.577286 Adjusted R-squared 0.498520 F(30, 161) 7.329075 P-value(F) 7.76e-18 Log-likelihood -1635.674 Akaike criterion 3333.348 Schwarz criterion 3434.331 Hannan-Quinn 3374.247 Comparison of Model 1 and Model 2: Null hypothesis: the regression parameters are zero for the variables capital, EstTrans06_pc, EstInte06_pc, EstOt06_pc, Emp_Con06_pc, Emp_Com06_pc, Emp_Fin06_pc, Turis06_pc, Carga06_pc, Par06_pc, Gpibpc06, VGasT06_pc, VGasCa06_pc, GEstIndu06_pc, VEstCons06_pc, GEstCons06_pc, GEstCom06_pc, GEstHos06_pc, VEstTrans06_pc, GEstTrans06_pc, VEstOt06_pc, GEstOt06_pc, GEmp_Ind06_pc, GEmp_Con06_pc, GEmp_Com06_pc, VEmp_Hos06_pc, GEmp_Tra06_pc, GEmp_Fin06_pc, GEmp_OtS06_pc, VTuris06_pc, GTuris06_pc, GCarga06_pc, VPar06_pc, GPar06_pc, VConst, GConst Test statistic: F(36, 125) = 0.599797, with p-value = 0.96105 Of the 3 model selection statistics, 3 have improved. ? list XL2 = $xlist Generated list XL2 ? list XL2 print const capital pibpc06 GasT06_pc GasCo06_pc GasCa06_pc EstIndu06_pc \ EstCons06_pc EstCom06_pc EstHos06_pc EstTrans06_pc EstInte06_pc \ EstOt06_pc Emp_Ind06_pc Emp_Con06_pc Emp_Com06_pc Emp_Hos06_pc \ Emp_Tra06_pc Emp_Fin06_pc Emp_OtS06_pc Turis06_pc Carga06_pc Par06_pc \ Vpibpc06 Gpibpc06 VGasT06_pc GGasT06_pc VGasCo06_pc GGasCo06_pc \ VGasCa06_pc GGasCa06_pc VEstIndu06_pc GEstIndu06_pc VEstCons06_pc \ GEstCons06_pc VEstCom06_pc GEstCom06_pc VEstHos06_pc GEstHos06_pc \ VEstTrans06_pc GEstTrans06_pc VEstInte06_pc GEstInte06_pc VEstOt06_pc \ GEstOt06_pc VEmp_Ind06_pc GEmp_Ind06_pc VEmp_Con06_pc GEmp_Con06_pc \ VEmp_Com06_pc GEmp_Com06_pc VEmp_Hos06_pc GEmp_Hos06_pc VEmp_Tra06_pc \ GEmp_Tra06_pc VEmp_Fin06_pc GEmp_Fin06_pc VEmp_OtS06_pc GEmp_OtS06_pc \ VTuris06_pc GTuris06_pc VCarga06_pc GCarga06_pc VPar06_pc GPar06_pc \ VConst GConst ? quit Script done </output> -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. 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