Re: [Gretl-users] R: Rolling parameter estimate
On Thu, 26 May 2011, Oscar Soppelsa wrote:
Thank Artur and Riccardo very much for your answer! I've two
question now:
1. could you explain me the syntax about the selection of the sample's
dimension? What does this mean? ---> i=1982:1..1987:3
One standard form of loop in gretl uses the construction
loop i=1..10
which should be self-explanatory (but is also explained in the
manual). The variant above uses the convenience functionality of
representing integer observations numbers as dates (in this case,
quarterly dates).
2. After the rolling parameters estimation, how can I print on the
monitor a
vertical array whose elements are coefficients, std. errors, z, p-values
etc.? I would need to export this array in Excel, for example.
Regression coefficients and standard errors are accessible in
matrix form as $coeff and $stderr, after estimating a model.
z-scores and p-values can easily be computed -- see the pvalue()
function. Matrices can be concatenated and reshaped at will, see
the chapter on matrices in the User's Guide. They can also be
printed in whatever form is appropriate - see the "printf"
command.
Allin Cottrell