[Gretl-users] gretl, regression
Hi
Thanks for the info.
Gene
On Tuesday, June 11, 2024 at 10:13:08 PM EDT, Riccardo (Jack) Lucchetti
<p002264(a)staff.univpm.it> wrote:
On 11/06/2024 17:30, gene shackman wrote:
Hi all
I'm working on regression, in this case, just OLS. I used Birth Rate, Agriculture,
Services, GDP Per Capita and Population to predict Infant Mortality.
So far, there is good news. The values that gretl generates are the same values, or close
enough, to the values SAS generates.
Well done, SAS guys!
There are some differences with naming outcomes, but I'm okay
with that.I have some questions. The default output (what first appears when doing the
model / OLS) includes these
Mean dependent var 20.75258
Sum squared resid 19737.38
S.E. of regression 9.581323
R-squared 0.759917
Adjusted R-squared 0.754334
F(5, 215) 136.1049
P-value(F) 1.39E-64
S.D. dependent var 19.33093
Any particular reason the Sum squared resid, S.E. of regression and the S.D. dependent
var are included?
Because these are descriptive statistics that an econometrician might want to see,
especially the SSR. It's no coincidence that the SSR is reported by all
econometrics-oriented software packages.
The S.E. of regression is the Root MSE on SAS's default output,
so that makes sense.
And the output has the mean of the dependent var, so okay, the S.D. dependent var could
make sense too.
But why is the Sum squared resid on the default output? That's on the ANOVA (as the
error sum of squares), but error mean squares is also on ANOVA but not on the default
output. And the model sum of squares and mean square are also on the ANOVA but not on the
default output.
Again, this is something you may need: for example, you may want to use the SSR to compare
two different models via a Wald test, or an F test "by hand".
That is, the ANOVA has regression sum of squares and regression mean
square, and the residual sum of squares and the residual mean square. But the the only
thing from the ANOVA that's on the default output is the residual sum of squares. Why
that one?
Because hardly anybody uses ANOVA tables in econometrics. In case you need it, it's
just a couple of clicks away.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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