Re: [Gretl-users] Monte Carlo simulation with correlated variables

Thanks a lot Sven and Allin! That really helped. I can see that Cholesky decomposition works perfectly in the Monte Carlo method for simulating systems with multiple correlated variables. But I'm not quite sure WHY, so if you have any readable references I would be more than happy to take a look at it. (By the way, I couldn't find anything in the Gretl-manual about the operator *= that was used in the script). Best regards, Lars Lars Palsson Syll Professor of Civics Malmo University Sweden 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. monte carlo simulation ( Lars P?lsson-Syll ) 2. Re: monte carlo simulation (Sven Schreiber) 3. RES: RES: Panel models tests (Bruno Thiago Tomio) 4. Re: RES: RES: Panel models tests (Sven Schreiber) 5. Re: monte carlo simulation (Allin Cottrell) 6. RES: RES: RES: Panel models tests (Bruno Thiago Tomio) 7. Re: RES: RES: Panel models tests (yinung at Gmail) 8. gretl 1.8.6 on ubuntu 8.04 (yinung at Gmail) 9. Re: gretl 1.8.6 on ubuntu 8.04 (Artur T.) ---------------------------------------------------------------------- Message: 1 Date: Mon, 11 Jan 2010 09:36:29 +0100 From: " Lars P?lsson-Syll " <Lars.Palsson-Syll(a)mah.se&gt; Subject: [Gretl-users] monte carlo simulation To: <gretl-users(a)lists.wfu.edu&gt; Message-ID: <4B4AF11D020000F00008CFC1(a)biggs.mah.se&gt; Content-Type: text/plain; charset=US-ASCII Hi, Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of econometrics" (3rd ed, p 273) I run in to problem when in my script trying to incorporate that the population correlation between the x-values and the error-values should be 0.6. Could anyone help me? Best regards, Lars Lars Palsson Syll Professor of Civics Malmo University Sweden ------------------------------ Message: 2 Date: Mon, 11 Jan 2010 10:40:21 +0100 From: Sven Schreiber <svetosch(a)gmx.net&gt; Subject: Re: [Gretl-users] monte carlo simulation To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <4B4AF205.6060608(a)gmx.net&gt; Content-Type: text/plain; charset=ISO-8859-1 Lars P?lsson-Syll schrieb: If your question is how to produce (pseudo-) random series with the needed correlation structure, then create two independent series and multiply that vector (actually 2-col data matrix) with an appropriate matrix (cholesky factor of the wanted covariance matrix). good luck, sven ------------------------------ Message: 3 Date: Mon, 11 Jan 2010 12:06:16 -0200 From: "Bruno Thiago Tomio" <bttomio(a)al.furb.br&gt; Subject: [Gretl-users] RES: RES: Panel models tests To: "'Gretl list'" <gretl-users(a)lists.wfu.edu&gt; Message-ID: <740635D656A14A37B9F1FEA1B250F4C2@bruno> Content-Type: text/plain; charset="us-ascii" Thank you very much, Sven. I get "Data error" when trying to run tbar = meanc(tstats), following your instructions. Cheers, Bruno -----Mensagem original----- De: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber Enviada em: sexta-feira, 8 de janeiro de 2010 21:24 Para: Gretl list Assunto: Re: [Gretl-users] RES: Panel models tests Well I don't have a complete solution for you, but AFAIR some of these tests rely on average ADF test statistics. So here is an example script showing how to calculate such averages across panel units: open greene14_1.gdt # example of a panel dataset # which variable? series tested = C lagorder = 0 scalar numofunits = max($unit) matrix tstats = {} loop for i=1..numofunits smpl $unit=i --restrict adf lagorder tested --c matrix tstats = tstats | $test smpl full endloop tbar = meanc(tstats) print tbar For averaging p-values instead just replace $test with $pvalue. After some polishing (and generalization) all this stuff could be wrapped in function packages, but currently I don't have time for that, sorry. Anybody else? cheers, sven Bruno Thiago Tomio schrieb: _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ------------------------------ Message: 4 Date: Mon, 11 Jan 2010 15:28:52 +0100 From: Sven Schreiber <svetosch(a)gmx.net&gt; Subject: Re: [Gretl-users] RES: RES: Panel models tests To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <4B4B35A4.3030701(a)gmx.net&gt; Content-Type: text/plain; charset=ISO-8859-1 Bruno Thiago Tomio schrieb: Hm, I'm guessing maybe some missings in your dataset? Does the script run ok for you with the example dataset (shipped with gretl)? If not, what gretl version are you using? -sven ------------------------------ Message: 5 Date: Mon, 11 Jan 2010 09:55:06 -0500 (EST) From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] monte carlo simulation To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <Pine.A41.4.58.1001110935480.2478570(a)f1n11.sp2net.wfu.edu&gt; Content-Type: TEXT/PLAIN; charset=iso-8859-1 On Mon, 11 Jan 2010, Sven Schreiber wrote: An example: <!-- pt> scalar N = 100000 nulldata N --preserve scalar r = 0.6 matrix X = mnormal(N, 2) matrix V = {1, r; r, 1} matrix C = cholesky(V) X *= C' # note: use the transpose series x1 = X[,1] series x2 = X[,2] r = corr(x1, x2) </scr --> Allin Cottrell ------------------------------ Message: 6 Date: Mon, 11 Jan 2010 14:19:24 -0200 From: "Bruno Thiago Tomio" <bttomio(a)al.furb.br&gt; Subject: [Gretl-users] RES: RES: RES: Panel models tests To: "'Gretl list'" <gretl-users(a)lists.wfu.edu&gt; Message-ID: <1C39598AE9E949A79C8FC6D3075B1B8B@bruno> Content-Type: text/plain; charset="us-ascii" Using greene14_1.gdt, the script output is: gretl version 1.8.6 Current session: 2010-01-11 14:17 ? scalar numofunits = max($unit) Generated scalar numofunits = 6 ? matrix tstats = {} Generated matrix tstats ? loop for i=1..numofunits loop: i = 1 ? smpl $unit=i --restrict Full data set: 90 observations Current sample: 15 observations adf: expected an integer order -----Mensagem original----- De: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber Enviada em: segunda-feira, 11 de janeiro de 2010 12:29 Para: Gretl list Assunto: Re: [Gretl-users] RES: RES: Panel models tests Bruno Thiago Tomio schrieb: Hm, I'm guessing maybe some missings in your dataset? Does the script run ok for you with the example dataset (shipped with gretl)? If not, what gretl version are you using? -sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ------------------------------ Message: 7 Date: Tue, 12 Jan 2010 00:40:37 +0800 From: yinung at Gmail <yinung.cycu(a)gmail.com&gt; Subject: Re: [Gretl-users] RES: RES: Panel models tests To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <8fcc70371001110840r57eb3e02l9af0a832759b01aa(a)mail.gmail.com&gt; Content-Type: text/plain; charset=ISO-8859-1 sven I run your script on gretl 1.8.6 (under winXP) and it works great. Yi-Nung Yang 2010/1/11 Sven Schreiber <svetosch(a)gmx.net&gt;: ------------------------------ Message: 8 Date: Tue, 12 Jan 2010 00:43:45 +0800 From: yinung at Gmail <yinung.cycu(a)gmail.com&gt; Subject: [Gretl-users] gretl 1.8.6 on ubuntu 8.04 To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <8fcc70371001110843l468d000ev25efba868bfb75cd(a)mail.gmail.com&gt; Content-Type: text/plain; charset=ISO-8859-1 Dear all Does anyone successfully install (or compile) gretl 1.8.6 on ubuntu 8.04? I had a hard time to do that. If somebody does, would you please instruct me how to do that? Thanks Yi-Nung Yang ------------------------------ Message: 9 Date: Mon, 11 Jan 2010 16:51:25 +0000 From: "Artur T." <artur.tarassow(a)googlemail.com&gt; Subject: Re: [Gretl-users] gretl 1.8.6 on ubuntu 8.04 To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <4B4B570D.7040509(a)googlemail.com&gt; Content-Type: text/plain; charset=ISO-8859-1; format=flowed yinung at Gmail schrieb: can you give us the ouput of your compilation attempt? usually the problem lies in some missing packages. artur ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 36, Issue 13 *******************************************