Re: [Gretl-users] Panel Data, print out estimated betas
On Thu, 11 Mar 2010, [iso-8859-1] Peter Blömeke wrote:
Thank you Allin for the code. After running the code the output looks
like
this now:
gretl version 1.8.7
Current session: 2010-03-11 21:09
? scalar numofunits = max($unit)
Generated scalar numofunits = 612
? matrix betas = {}
Generated matrix betas
? loop for i=1..numofunits
> smpl $unit=i --restrict
> ols Aktie const Leitregion CDAX --quiet
> b1 = $coeff[2]
> b2 = $coeff[3]
> betas |= { b1, b2 }
> smpl full
> endloop
loop: i = 1
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
? b1 = $coeff[2]
? b2 = $coeff[3]
? betas |= { b1, b2 }
? smpl --full
Full data range: 1:001 - 612:180 (n = 110160)
loop: i = 2
...
loop: i = 16
? smpl $unit=i --restrict
Full data set: 110160 observations
Current sample: 180 observations
? ols Aktie const Leitregion CDAX --quiet
Missing values encountered
>> ols Aktie const Leitregion CDAX --quiet
Unfortunately it stops here and I don't know why. Is it a problem with
missing values? Does Gretl has to know somehow how to work with missing
values?
Gretl can generally handle missing observations fine. I suspect
there's a serious hole in the dataset -- something like all
observations missing for Aktie for unit 16? Using current CVS
gretl you could do:
catch ols Aktie const Leitregion CDAX --quiet
if $error
printf "error running OLS for unit %d\n", i
else
b1 = $coeff[2]
b2 = $coeff[3]
betas |= { $i, b1, b2 }
endif
The first column of betas would hold the unit number for units
where the regression was successful.
Allin Cottrell