Re: [Gretl-users] Help - estimation of Profile likelihood function for TVECM
Thanks!
Well I run script without "--Progressive" option. Unfortunately, it dropped
my second variable (ECT1) because it contains only 0-s. However, I need
both in the equation ECT1 and ECT2. Do you have any solution?
Here is the copy of results:
Current session: 2015-05-18 15:13
? T=$nobs
Replaced scalar T = 94
? loop i=1..T --quiet
genr ECT1 = ECT*(time <= i)
genr ECT2 = ECT-ECT1
ols D_ARM *ECT1 ECT2 *D_FRN1 D_ARM1
genr LF = $lnl
store "C:\Users\Svanidze\Desktop\LF.gdt" LF
endloop
Model 767: OLS, using observations 2006:12-2014:08 (T = 93)
Dependent variable: D_ARM
*Omitted because all values were zero: ECT1*
coefficient std. error t-ratio p-value
--------------------------------------------------------
ECT2 −0.281632 0.0562133 −5.010 2.70e-06 ***
D_FRN1 −0.0226867 0.103735 −0.2187 0.8274
D_ARM1 0.131557 0.0901396 1.459 0.1479
******************** I skip the rest
**********************************************
Best,
Miranda
On Mon, May 18, 2015 at 3:03 PM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
On Mon, 18 May 2015, Miranda Svanidze wrote:
To clarify my problem written in the previous email, I am adding results
> from Gretl.
>
I dn't understand why you need the --progressive flag. Is the following
example of any help to you?
<hansl>
set echo off
set messages off
open AWM.gdt --quiet
series y = ln(YER)
series c = ln(PCR)
series z = y - c
diff y c
T = $nobs
series ll = NA
loop i=1..T --quiet
series zp = z * (time < i)
series zm = z - zp
ols d_c 0 d_y zp(-1) zm(-1) --quiet
ll[i] = $lnl
endloop
plot ll
options time-series with-lines
end plot --output=display
</hansl>
-------------------------------------------------------
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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