On Tue, Jul 9, 2013 at 4:00 PM, <gretl-users-request@lists.wfu.edu> wrote:

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Today's Topics:

   1. retrieving F-stat and p-value from a VAR system (cociuba mihai)
   2. Re: Constant in log-likelihood and graph of two densities
      together (Allin Cottrell)
   3. Re: retrieving F-stat and p-value from a VAR system
      (Allin Cottrell)
   4. Re: retrieving F-stat and p-value from a VAR system
      (Allin Cottrell)
   5. Implement new criterion for var lag selection
      (Gian Lorenzo Spisso)
   6. Re: Implement new criterion for var lag selection
      (Riccardo (Jack) Lucchetti)
   7. Re: Implement new criterion for var lag selection
      (Gian Lorenzo Spisso)


----------------------------------------------------------------------

Message: 1
Date: Tue, 9 Jul 2013 01:44:11 +0300
From: cociuba mihai <cociuba@gmail.com>
Subject: [Gretl-users] retrieving F-stat and p-value from a VAR system
To: gretl-users@lists.wfu.edu
Message-ID:
        <CADSiGnWsNfdNat0ZNGzib+Qg6TsANuRGS3NTPO0id=qY36zcXQ@mail.gmail.com>
Content-Type: text/plain; charset="iso-8859-1"

Dear GRETL users,
I'm testing Granger causality between inflation and inflation uncertainty
for 15 countries and I would like to retrieve the result of the Wald test
in a matrix, the script that I try to run gets stuck at the last step. Any
suggestion are welcome.

###hansl###
open Table_17.3.gdt
var 10 M1 R --lagselect
a=2
b=3
c=6
d=8
#number of rows 4, but the number of F statistics reported in the VAR
output for #every equations is 3 so maybe I need more?
scalar T = 4
#generate the matrix with 4 rows and 2 colums
matrix F_stat = zeros(T,2)
#rename the colums
# is it possible to have also the name of the F test?
colnames(F_stat, "t-stat p-value")
    loop foreach i a b c d
var $i M1 R --nc
F_stat[$i,] = $test ~ $pvalue
endloop
print F_stat
###end###

Thanks, Mihai
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Message: 2
Date: Mon, 8 Jul 2013 21:31:05 -0400 (EDT)
From: Allin Cottrell <cottrell@wfu.edu>
Subject: Re: [Gretl-users] Constant in log-likelihood and graph of two
        densities together
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <alpine.LFD.2.10.1307082117570.23324@myrtle>
Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed

On Mon, 8 Jul 2013, Alecos Papadopoulos wrote:

> Good evening everybody. I am rather new to Gretl and my questions
> are probably kindergarten-level, but I could not figure out the
> answers myself or using Help. So here they are
>
> 1) I run maximum likelihood from the script window. I am trying
> two different and non-nested stochastic specifications. I have to
> compare and evaluate them by using the value of the maximized
> log-likelihood. But since they are non-nested, their
> log-likelihood functions are totally different. So, suddenly, the
> constants of each log-likelihood, although they play no role in
> the estimation of the parameters, influence the value of the
> maximized logl - and they are different constants.
>
> If I don't include them in the logl function, then the values of
> the maximized logl (and the AIC and BIC and HQ criteria) will be
> misleading for comparison purposes of the two competing stochastic
> specifications, and currently I am doing the corrections by hand
> (which I can live with). But it would be nice not to have output
> that needs such corrections. I tried to include them in the
> specification of the logl after the "mle logl = " command. But
> when I tried to include them as, say, "ln(4/sqrt(2/pi))" or
> "ln(4/sqrt(2/%pi)) I get "syntax error on the command line".

The recommended way of accessing pi = 3.14... in current gretl
(version 1.9.12) is "$pi", though plain "pi" (deprecated since May
2012) will still work; "%pi" will definitely not work. The
expression

ln(4/sqrt(2/$pi))

is correctly evaluated as 1.612... in current gretl.

> When I calculate them explicitly, say 0.45678 and enter this
> constant instead, Gretl runs, but the estimation goes astray, and
> produces different results than when the constant is not included.
> I suspect that this may have something to do with the fact that I
> do not specify analytical derivatives, but I really don't know.
> What am I doing wrong?

The issue of analytical versus numerical derivatives wouldn't seem
to be relevant to the inclusion or non-inclusion of a constant term
(which obviously doesn't have a derivative) in the log-likelihood.
I suppose something else must be wrong here. I think you'll have to
show us your full script to get useful help.

> 2) Again for comparison purposes, I would want to have in one graph the
> estimated densities of two series. But when I select two series the
> "Variable" menu becomes disabled, while in the "View" menu there are
> various graph options, but not the option to graph the estimated
> densities of the two series together. Is there a way around this?

This question has come up before. Please see
http://lists.wfu.edu/pipermail/gretl-users/2013-April/008745.html

Allin Cottrell


------------------------------

Message: 3
Date: Mon, 8 Jul 2013 21:59:16 -0400 (EDT)
From: Allin Cottrell <cottrell@wfu.edu>
Subject: Re: [Gretl-users] retrieving F-stat and p-value from a VAR
        system
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <alpine.LFD.2.10.1307082142420.23324@myrtle>
Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed

On Tue, 9 Jul 2013, cociuba mihai wrote:

> I'm testing Granger causality between inflation and inflation
> uncertainty for 15 countries and I would like to retrieve the
> result of the Wald test...

What Wald test? (That is, for what null hypothesis?)

> in a matrix, the script that I try to run gets stuck at the last
> step. Any suggestion are welcome.

[last step]
> loop foreach i a b c d
>   var $i M1 R --nc
>   F_stat[$i,] = $test ~ $pvalue
> endloop

The "var" command in gretl does not supply a $test accessor. In fact
no model estimation command in gretl does that: the label "test" is
much too general, given that many sorts of tests might be
contemplated after estimating a given model (either single-equation
or multi-equation).

Since a VAR is just a collection of equations related in a certain
way (identical right-hand sides, specific relation between left-hand
side variables and right-hand sides), estimated in practice via OLS,
you can get whatever Wald statistics you want by estimating the
equations singly via the "ols" command, and using either "omit" or
"restrict" (which do produce $test and $pvalue).

(I suppose we could generalize the current scalar $Fstat accessor
for single equation models to a matrix for VARs, but that would
require some decisions on which F-stats to include and in what
configuration.)

Allin Cottrell


------------------------------

Message: 4
Date: Mon, 8 Jul 2013 22:15:21 -0400 (EDT)
From: Allin Cottrell <cottrell@wfu.edu>
Subject: Re: [Gretl-users] retrieving F-stat and p-value from a VAR
        system
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <alpine.LFD.2.10.1307082212280.23324@myrtle>
Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed

On Mon, 8 Jul 2013, Allin Cottrell wrote:

> On Tue, 9 Jul 2013, cociuba mihai wrote:
>
>> I'm testing Granger causality between inflation and inflation uncertainty
>> for 15 countries and I would like to retrieve the result of the Wald
>> test...
>
> What Wald test? (That is, for what null hypothesis?)

OK, in fact clear enough from context. Trivial example of what I
described in my previous posting:

<hansl>
open data9-7
scalar p = 4
var p PRIME UNEMP
list RHS = const PRIME(-1 to -p) UNEMP(-1 to -p)
# first equation: does UNEMP Granger-cause PRIME?
ols PRIME RHS --quiet
omit UNEMP(-1 to -p) --quiet --test-only
eval $test
eval $pvalue
# second equation: does PRIME Granger-cause UNEMP?
ols UNEMP RHS --quiet
omit PRIME(-1 to -p) --quiet --test-only
eval $test
eval $pvalue
</hansl>

Allin Cottrell


------------------------------

Message: 5
Date: Tue, 9 Jul 2013 13:15:43 +0200
From: Gian Lorenzo Spisso <glspisso@gmail.com>
Subject: [Gretl-users] Implement new criterion for var lag selection
To: gretl-users@lists.wfu.edu
Message-ID:
        <CAJ_wB9=gLShM2DdET7uk_f0CDBTBRgdcsqj_G_mvhkHE4jcE_w@mail.gmail.com>
Content-Type: text/plain; charset="iso-8859-1"

Hi all,
I would like to implement in GRETL the procedure for lag selection of a VAR
as specified here:
http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which
essentialy replace BIC and HQC with a weighted average of the two.

Is there any easy to install package that I could use?
Otherwise could it be possible to simply reprogram AIC column to show this
criterion instead? In case can anybody provide a little guidance for the
process? I am not familiar with gretl programming.

Thank you,
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Message: 6
Date: Tue, 9 Jul 2013 14:45:28 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <r.lucchetti@univpm.it>
Subject: Re: [Gretl-users] Implement new criterion for var lag
        selection
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <alpine.DEB.2.10.1307091444170.13798@ec-4.econ.univpm.it>
Content-Type: text/plain; charset="iso-8859-1"

On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:

> Hi all,
> I would like to implement in GRETL the procedure for lag selection of a VAR
> as specified here:
> http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which
> essentialy replace BIC and HQC with a weighted average of the two.
>
> Is there any easy to install package that I could use?
> Otherwise could it be possible to simply reprogram AIC column to show this
> criterion instead? In case can anybody provide a little guidance for the
> process? I am not familiar with gretl programming.

I don't have a subscription to "Applied Economics Journal". Could you
describe me the proposed method?

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Universit? Politecnica delle Marche
   (formerly known as Universit? di Ancona)

   r.lucchetti@univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------

------------------------------

Message: 7
Date: Tue, 9 Jul 2013 14:58:42 +0200
From: Gian Lorenzo Spisso <glspisso@gmail.com>
Subject: Re: [Gretl-users] Implement new criterion for var lag
        selection
To: r.lucchetti@univpm.it, Gretl list <gretl-users@lists.wfu.edu>
Message-ID:
        <CAJ_wB9ndVjdNygwUYYDQEc9Ad7=+Px9q4wDW+orXLza6f28rjw@mail.gmail.com>
Content-Type: text/plain; charset="iso-8859-1"

Dear Riccardo,
I attach a screenshot of the relevant part.
You can see the formulas for the two criterion, and the new criterion
proposed by Hatemi which simply averages the two. He then goes on and uses
a Montecarlo simulation to show that this mixed criterion as higher
probability in picking the right lag.


On Tue, Jul 9, 2013 at 2:45 PM, Riccardo (Jack) Lucchetti <
r.lucchetti@univpm.it> wrote:

> On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:
>
>  Hi all,
>> I would like to implement in GRETL the procedure for lag selection of a
>> VAR
>> as specified here:
>> http://www.tandfonline.com/**doi/pdf/10.1080/**1350485022000041050<http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050>which
>> essentialy replace BIC and HQC with a weighted average of the two.
>>
>> Is there any easy to install package that I could use?
>> Otherwise could it be possible to simply reprogram AIC column to show this
>> criterion instead? In case can anybody provide a little guidance for the
>> process? I am not familiar with gretl programming.
>>
>
> I don't have a subscription to "Applied Economics Journal". Could you
> describe me the proposed method?
>
> ------------------------------**-------------------------
>   Riccardo (Jack) Lucchetti
>   Dipartimento di Scienze Economiche e Sociali (DiSES)
>
>   Universit? Politecnica delle Marche
>   (formerly known as Universit? di Ancona)
>
>   r.lucchetti@univpm.it
>   http://www2.econ.univpm.it/**servizi/hpp/lucchetti<http://www2.econ.univpm.it/servizi/hpp/lucchetti>
> ------------------------------**-------------------------
> _______________________________________________
> Gretl-users mailing list
> Gretl-users@lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>



--
Gian Lorenzo Spisso


*Phone*: 415-359-4330
*Skype*: glspisso
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