2:06 p.m.
As Peter Kennedy relates Fritz Machlup's lament: Let us remember the unfortunate
econometrician who, in one of the major functions of his system, had to use a proxy for
risk and a dummy for sex.
________________________________
From: gretl-users-bounces(a)lists.wfu.edu <gretl-users-bounces(a)lists.wfu.edu> on
behalf of gretl-users-request(a)lists.wfu.edu <gretl-users-request(a)lists.wfu.edu Sent: Wednesday, November 29, 2017 4:28 AM
To: gretl-users(a)lists.wfu.edu
Subject: Gretl-users Digest, Vol 130, Issue 11
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Today's Topics:
1. Instrument variables (Sofia Gori)
2. Re: Instrument variables (Riccardo (Jack) Lucchetti)
3. Re: Instrument variables (Sven Schreiber)
4. Re: Instrument variables (Sofia Gori)
5. Wilcoxon.gfn package: removal and alternative (Sven Schreiber)
----------------------------------------------------------------------
Message: 1
Date: Tue, 28 Nov 2017 18:04:43 +0100
From: Sofia Gori <sofiagori9(a)gmail.com To:
gretl-users(a)lists.wfu.edu
Subject: [Gretl-users] Instrument variables
Message-ID:
<CANRGUkZpTVXh5JwCPbs9E0NvXgWiXOfy+Zun+wTOBPdKDytGHQ(a)mail.gmail.com Content-Type: text/plain; charset="utf-8"
Hello,
I am a new user there. I'd like to know the steps in order to add
instrument variables to a single exogenous variable.
In Gretl it seems that you are able to add as many instruments as you want,
but you cannot specify the variable to which the instrument is related.
Thank you for your attention.
Sofia
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Message: 2
Date: Tue, 28 Nov 2017 18:36:45 +0100 (CET)
From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it To: Gretl list <gretl-users(a)lists.wfu.edu Subject: Re: [Gretl-users] Instrument variables
Message-ID: <alpine.DEB.2.21.1711281835200.26970(a)ec-4.econ.univpm.it Content-Type: text/plain; charset="utf-8";
Format="flowed"
On Tue, 28 Nov 2017, Sofia Gori wrote:
www2.econ.univpm.it
Riccardo "Jack" Lucchetti homepage Questa è la mia homepage. Lo so che è
spartana, per gli standard moderni; nemmeno uno sfondo, una gif animata...
-------------------------------------------------------
------------------------------
Message: 3
Date: Tue, 28 Nov 2017 22:05:43 +0100
From: Sven Schreiber <svetosch(a)gmx.net To:
gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] Instrument variables
Message-ID: <5424cf18-912a-05e2-a596-0b6638bf6e39(a)gmx.net
Content-Type: text/plain; charset=utf-8; format=flowed
Am 28.11.2017 um 18:36 schrieb Riccardo (Jack) Lucchetti:
To: Gretl
list <gretl-users(a)lists.wfu.edu Subject: Re: [Gretl-users]
Instrument variables
Message-ID:
<CANRGUkZbZBUoALNN_cGMwgPx1CuCZzPazjBm-NPmRQyg0SS1ww(a)mail.gmail.com Content-Type: text/plain; charset="utf-8"
Mine was a misstatement: what I intended to write was ?endogenous? instead
of ?exogenous?.
I both thank you for resolving my problem.
Il giorno mar 28 nov 2017 alle 22:05 Sven Schreiber <svetosch(a)gmx.net> ha
scritto:
lists.wfu.edu
A list for discussing the use of gretl, including requests for help. To see the collection
of prior postings to the list, visit the Gretl-users Archives.
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Message: 5
Date: Wed, 29 Nov 2017 10:28:21 +0100
From: Sven Schreiber <svetosch(a)gmx.net To: Gretl
list <gretl-users(a)lists.wfu.edu Subject: [Gretl-users] Wilcoxon.gfn
package: removal and alternative
Message-ID: <e79e297a-f78f-a864-7c95-0fefdb6e706b(a)gmx.net
Content-Type: text/plain; charset=utf-8; format=flowed
Hi all,
the contributed function package Wilcoxon.gfn is going to be removed
from the server soon. Gretl covers the functionality (the signed rank
Wilcoxon test) with the built-in command 'difftest'.
Example usage for series x and y (see also the difftest help):
difftest x y --signed-rank
And you can retrieve the results via the usual $test and $pvalue accessors.
If you need a functional form, you could use something like this trivial
wrapper:
<hansl function scalar
wilcoxonreplacement(series x, series y)
difftest x y --signed-rank
return $test
end function
</hansl
In the graphical interface (GUI) you would go to: Tools/Nonparametric
tests/ Difference test.
Happy testing,
Sven
------------------------------
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End of Gretl-users Digest, Vol 130, Issue 11
********************************************
Hello,
I am a new user there. I'd like to know the steps in order to add
instrument variables to a single exogenous variable.
In Gretl it seems that you are able to add as many instruments as you want,
but you cannot specify the variable to which the instrument is related.
Thank you for your attention.
You don't have to. All the instruments act simultaneously on all
regressors. This is not something gretl-specific, this is the way IV
estimation works.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universit? Politecnica delle Marche
(formerly known as Universit? di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
Jack's Home Page -
econ.univpm.it<http://www2.econ.univpm.it/servizi/hpp/lucchetti On Tue, 28 Nov 2017, Sofia Gori wrote:
> Hello,
> I am a new user there. I'd like to know the steps in
order to add
> instrument variables to a single exogenous variable.
> In Gretl it seems that you are able to add as many instruments as you
> want,
> but you cannot specify the variable to which the instrument is related.
> Thank you for your attention.
You don't have to. All the instruments act simultaneously on all
regressors. This is not something gretl-specific, this is the way IV
estimation works.
Of course Jack is right, but in case the question was meant as to how
certain variables are marked as "endogenous" (and thus needing
instruments):
You announce certain regressors to gretl as exogenous by also including
them in the list of instruments. Then by implication, all regressors
that are _not_ instruments are treated as endogenous.
(A quotation from the TSLS/IV help: "Note that any exogenous regressors
should appear in both lists." [independent variables and instruments])
cheers,
sven
------------------------------
Message: 4
Date: Wed, 29 Nov 2017 08:11:09 +0000
From: Sofia Gori <sofiagori9(a)gmail.com Am 28.11.2017 um 18:36 schrieb Riccardo (Jack) Lucchetti:
> On Tue, 28 Nov 2017, Sofia Gori wrote:
>> Hello,
> >> I am a new user there. I'd like to know the steps
in order to add
>> instrument variables to a single exogenous variable.
>> In Gretl it seems that you are able to add as many instruments as you
>> want,
>> but you cannot specify the variable to which the instrument is related.
>> Thank you for your attention.
> You don't have to. All the instruments act
simultaneously on all
> regressors. This is not something gretl-specific, this is the way IV
> estimation works.
Of course Jack is right, but in case the question was meant as to how
certain variables are marked as "endogenous" (and thus needing
instruments):
You announce certain regressors to gretl as exogenous by also including
them in the list of instruments. Then by implication, all regressors
that are _not_ instruments are treated as endogenous.
(A quotation from the TSLS/IV help: "Note that any exogenous regressors
should appear in both lists." [independent variables and instruments])
cheers,
sven
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