Re: [Gretl-users] Performance issues with sums and covariances
On Wed, 12 Mar 2014, Андрей Викторович | Andreï wrote:
I am trying to evaluate the distribution of Dickey---Fuller's
$T(\hat
\alpha-1)$ statistic in the model $x_t = \alpha x_{t-1} + \varepsilon$ with
the unit root $\alpha=1$ to the highest precision.
You could speed up your code significantly by cutting down on unnecessary
and intermediate operations; see if this helps:
<hansl>
loop i=1..iterations --progressive --quiet
series x=cum(normal())
ols x x(-1) --quiet
scalar DFT=$T*($coeff[1]-1)
store df1.csv DFT --no-header
endloop
</hansl>
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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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