Re: [Gretl-users] R:VAR parameters

Thanks for your answer. In my equations the restrictions are non-linear. For example, can I use the following restriction restrict varsys > b[1,2]*b[2,2] = 0 > end restrict Best regards. Alessandro > ----Messaggio originale---- > Da: gretl-users-request(a)lists.wfu.edu > Data: 14/12/2011 18.00 > A: <gretl-users(a)lists.wfu.edu&gt; > Ogg: Gretl-users Digest, Vol 59, Issue 17 > > Send Gretl-users mailing list submissions to > gretl-users(a)lists.wfu.edu > > To subscribe or unsubscribe via the World Wide Web, visit > http://lists.wfu.edu/mailman/listinfo/gretl-users > or, via email, send a message with subject or body 'help' to > gretl-users-request(a)lists.wfu.edu > > You can reach the person managing the list at > gretl-users-owner(a)lists.wfu.edu > > When replying, please edit your Subject line so it is more specific > than "Re: Contents of Gretl-users digest..." > > > Today's Topics: > > 1. Re: Different ols (Sven Schreiber) > 2. VAR parameters (alexkakashi(a)libero.it) > 3. Re: VAR parameters (Sven Schreiber) > 4. Re: Gretl-users Digest, Vol 59, Issue 16 (Annaert Jan) > 5. Re: VAR parameters (Allin Cottrell) > 6. Re: Different ols (Allin Cottrell) > > > ---------------------------------------------------------------------- > > Message: 1 > Date: Wed, 14 Dec 2011 08:38:06 +0100 > From: Sven Schreiber <svetosch(a)gmx.net&gt; > Subject: Re: [Gretl-users] Different ols > To: gretl-users(a)lists.wfu.edu > Message-ID: <4EE8525E.7030606(a)gmx.net&gt; > Content-Type: text/plain; charset=ISO-8859-1 > > You forgot the constant. > -sven > > On 12/14/2011 08:25 AM, clarodina(a)lycos.com wrote: >> Allin Cottrell, >> >> The scatterplot with v1 on y axis and v2 on x axis gives y=17.9+0.0453x >> >> Using ols v1 v2 OR ols v2 v1 gives 0.181744 and 5.49601 coefficient >> which is different >> the scatterplot >> >> And the graph for selecting v1 against v2 fiitted vs obs is different >> from the graph from the scatterplot >> >> Wanted to save the residual against v2 from the scatterplot and have the >> value on the gretl >> How to do using GUI rather the command? >> >> Clarodina >> >> >> ? m6 <- ols v1 v2 >> >> m6: OLS, using observations 1950-1954 (T = 5) >> Dependent variable: v1 >> >> coefficient std. error t-ratio p-value >> -------------------------------------------------------- >> v2 0.181744 0.00306098 59.37 4.82e-07 *** >> >> Mean dependent var 23.84800 S.D. dependent var 0.313321 >> Sum squared resid 3.223300 S.E. of regression 0.897678 >> R-squared 0.998867 Adjusted R-squared 0.998867 >> F(1, 4) 3525.337 P-value(F) 4.82e-07 >> Log-likelihood -5.997112 Akaike criterion 13.99422 >> Schwarz criterion 13.60366 Hannan-Quinn 12.94599 >> rho 0.620803 Durbin-Watson 0.419277 >> >> ? m6 <- ols v2 v1 >> >> m6: OLS, using observations 1950-1954 (T = 5) >> Dependent variable: v2 >> >> coefficient std. error t-ratio p-value >> -------------------------------------------------------- >> v1 5.49601 0.0925651 59.37 4.82e-07 *** >> >> Mean dependent var 131.0220 S.D. dependent var 6.532206 >> Sum squared resid 97.47384 S.E. of regression 4.936442 >> R-squared 0.998867 Adjusted R-squared 0.998867 >> F(1, 4) 3525.337 P-value(F) 4.82e-07 >> Log-likelihood -14.52006 Akaike criterion 31.04012 >> Schwarz criterion 30.64955 Hannan-Quinn 29.99189 >> rho 0.635889 Durbin-Watson 0.420088 >> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > ------------------------------ > > Message: 2 > Date: Wed, 14 Dec 2011 11:24:31 +0100 (CET) > From: &quot;alexkakashi(a)libero.it&quot; <alexkakashi(a)libero.it&gt; > Subject: [Gretl-users] VAR parameters > To: gretl-users(a)lists.wfu.edu > Message-ID: > <17122838.2794091323858271987.JavaMail.defaultUser@defaultHost> > Content-Type: text/plain;charset="UTF-8" > > Hi, > I have the following problem. I should estimate a VAR model in which some > parameters are constrained. How can I restrict some coefficients equal to 0 in > gretl? > > Best regards > > Alessandro > > > ------------------------------ > > Message: 3 > Date: Wed, 14 Dec 2011 11:28:25 +0100 > From: Sven Schreiber <svetosch(a)gmx.net&gt; > Subject: Re: [Gretl-users] VAR parameters > To: gretl-users(a)lists.wfu.edu > Message-ID: <4EE87A49.8000807(a)gmx.net&gt; > Content-Type: text/plain; charset=ISO-8859-1 > > On 12/14/2011 11:24 AM, alexkakashi(a)libero.it wrote: >> Hi, >> I have the following problem. I should estimate a VAR model in which some >> parameters are constrained. How can I restrict some coefficients equal to 0 in >> gretl? >> > > set up a SUR system: > > system method=sur > equation ... > equation ... > equation ... > .... > end system > > The equation specifying syntax is like for a normal equation. > > hth, > sven > > > ------------------------------ > > Message: 4 > Date: Wed, 14 Dec 2011 11:35:23 +0000 > From: Annaert Jan <jan.annaert(a)ua.ac.be&gt; > Subject: Re: [Gretl-users] Gretl-users Digest, Vol 59, Issue 16 > To: &quot;gretl-users(a)lists.wfu.edu&quot; <gretl-users(a)lists.wfu.edu&gt; > Message-ID: > <F194DC2C2D2F4140AC6D295D5AA1F3CB7A789C04(a)xmail31.ad.ua.ac.be&gt; > Content-Type: text/plain; charset="us-ascii" > > Don't forget to add the constant in the regression! > > Jan > > > -----Original Message----- > From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu. edu] On Behalf Of gretl-users-request(a)lists.wfu.edu > Sent: woensdag 14 december 2011 8:26 > To: gretl-users(a)lists.wfu.edu > Subject: Gretl-users Digest, Vol 59, Issue 16 > > Send Gretl-users mailing list submissions to > gretl-users(a)lists.wfu.edu > > To subscribe or unsubscribe via the World Wide Web, visit > http://lists.wfu.edu/mailman/listinfo/gretl-users > or, via email, send a message with subject or body 'help' to > gretl-users-request(a)lists.wfu.edu > > You can reach the person managing the list at > gretl-users-owner(a)lists.wfu.edu > > When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." > > > > ------------------------------ > > Message: 5 > Date: Wed, 14 Dec 2011 10:28:55 -0500 (EST) > From: Allin Cottrell <cottrell(a)wfu.edu&gt; > Subject: Re: [Gretl-users] VAR parameters > To: Gretl list <gretl-users(a)lists.wfu.edu&gt; > Message-ID: <alpine.LNX.2.00.1112141013340.455(a)waverley.dhcp.wfu.edu&gt; > Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed > > On Wed, 14 Dec 2011, Sven Schreiber wrote: > >> On 12/14/2011 11:24 AM, alexkakashi(a)libero.it wrote: >>> Hi, >>> I have the following problem. I should estimate a VAR model in which some >>> parameters are constrained. How can I restrict some coefficients equal to 0 in >>> gretl? >> >> set up a SUR system: >> >> system method=sur >> equation ... >> equation ... >> equation ... >> .... >> end system >> >> The equation specifying syntax is like for a normal equation. > > We should probably enable the "restrict" command for VARs at > some point, but as Sven says you can do this as an SUR system. > Here's a trivial example: > > <hansl> > open data9-7 > > # set up the common regressors > list X = const INCOME(-1 to -4) PRIME(-1 to -4) > varsys <- system > equation INCOME X > equation PRIME X > end system > > restrict varsys > b[1,2] - b[2,2] = 0 > end restrict > > estimate varsys method=SUR > </hansl> > > Allin Cottrell > > > ------------------------------ > > Message: 6 > Date: Wed, 14 Dec 2011 10:37:44 -0500 (EST) > From: Allin Cottrell <cottrell(a)wfu.edu&gt; > Subject: Re: [Gretl-users] Different ols > To: Gretl list <gretl-users(a)lists.wfu.edu&gt; > Message-ID: <alpine.LNX.2.00.1112141034110.455(a)waverley.dhcp.wfu.edu&gt; > Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed > > On Wed, 14 Dec 2011, clarodina(a)lycos.com wrote: > > [ nothing readable other than attached HTML ] > > Please do not send HTML mail to the gretl list. > > But in relation to "Wanted to save the residual against v2 >from the scatterplot and have the value on the gretl How to do > using GUI rather the command?": > > Use the Save menu in the model window. > > -- > Allin Cottrell > Department of Economics > Wake Forest University, NC > > > > ------------------------------ > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > End of Gretl-users Digest, Vol 59, Issue 17 > ******************************************* > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users