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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@gmail.com>
To: gretl-users@lists.wfu.edu
Subject: [Gretl-users] Instrument variables
Message-ID:
        <CANRGUkZpTVXh5JwCPbs9E0NvXgWiXOfy+Zun+wTOBPdKDytGHQ@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@univpm.it>
To: Gretl list <gretl-users@lists.wfu.edu>
Subject: Re: [Gretl-users] Instrument variables
Message-ID: <alpine.DEB.2.21.1711281835200.26970@ec-4.econ.univpm.it>
Content-Type: text/plain; charset="utf-8"; Format="flowed"

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.

-------------------------------------------------------
   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: 3
Date: Tue, 28 Nov 2017 22:05:43 +0100
From: Sven Schreiber <svetosch@gmx.net>
To: gretl-users@lists.wfu.edu
Subject: Re: [Gretl-users] Instrument variables
Message-ID: <5424cf18-912a-05e2-a596-0b6638bf6e39@gmx.net>
Content-Type: text/plain; charset=utf-8; format=flowed

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


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

Message: 4
Date: Wed, 29 Nov 2017 08:11:09 +0000
From: Sofia Gori <sofiagori9@gmail.com>
To: Gretl list <gretl-users@lists.wfu.edu>
Subject: Re: [Gretl-users] Instrument variables
Message-ID:
        <CANRGUkZbZBUoALNN_cGMwgPx1CuCZzPazjBm-NPmRQyg0SS1ww@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@gmx.net> ha
scritto:

> 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
> _______________________________________________
> Gretl-users mailing list
> Gretl-users@lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users

>
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Message: 5
Date: Wed, 29 Nov 2017 10:28:21 +0100
From: Sven Schreiber <svetosch@gmx.net>
To: Gretl list <gretl-users@lists.wfu.edu>
Subject: [Gretl-users] Wilcoxon.gfn package: removal and alternative
Message-ID: <e79e297a-f78f-a864-7c95-0fefdb6e706b@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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