[Gretl-users] Re: Scripting the VAR residual plot
On Tue, 27 Aug 2019, Sven Schreiber wrote:
Am 27.08.2019 um 05:20 schrieb Allin Cottrell:
> On Mon, 26 Aug 2019, Riccardo (Jack) Lucchetti wrote:
>> <pseudo-hansl>
>> list X = matrix
>> </pseudo-hansl>
>>
>> which would generate the series X_01, X_02, etc (of course, if
>> rows(matrix) == $nobs). The identifiers could be taken from the column
>> labels, if present, or the list name by default as in my example. This
>> would be quite handy, I think.
>
> I agree. But several policies have to be decided in the implementation
> of this. Here's what's in current git on the "newcomplex" branch.
(As long as this is still fresh in your mind: Do you know which commits
are related to this? More than one? Perhaps other people -me- could
experiment with applying only those commits without the rest of the branch.)
...
This all sounds good. Just one question: What actually happens in
cross-section and panel datasets? Cross-section is not such a problem
because of no lags, but panel? Does t1 and t2 also exist there?
Yes, they do exist for panel data -- when estimation is performed
for a specification that involves multiple sets of residuals or
fitted values represented in matrix form, such as "system" -- but
they refer to starting and ending points that must line up with
"individuals", not to the time-series dimension as such.
It's good you raised this question: my testing on panel data
revealed a bug in the new code that I think would equally apply to
time-series data, namely an incorrect notion of what exactly the
matrix t1- and t2-values imply for alignment with dataset
observations. That's now fixed in git and snapshots. Test script
follows (please ignore the highly questionable system
specification!):
<hansl>
open nc_crime.gdt -q
smpl 5:1 50:7 # use a subset of counties
system method=OLS
equation crmrte 0 prbarr
equation prbarr 0 polpc
end system
U = $uhat
print U
list L = U
smpl full
# check alignment of system residuals
print L -o
</hansl>
Allin