From: "Summers, Peter" <psummers@highpoint.edu>
To: Gretl list <gretl-users@lists.wfu.edu>
Sent:
Wednesday, December 21, 2011 11:23 PM
Subject: Re: [Gretl-users] Optimization
Clarodina,
I don't know of any add-on in Matlab or any other econometric software that's designed to maximize t-statistics. I also don't know of any reason why you'd want to do that.
Having said that, I suppose you could write this problem down in the same way you'd do a maximum likelihood estimation, or possibly GMM. Gretl does ML and GMM estimation -- see chapters 19 and 20 of the user's guide. Is that what you're wanting to do? If so, that's definitely NOT maximizing the t-statistics in a regression.
At any rate, if you really want to get maximum t's (in absolute value?), you'll have to program that yourself.
PS
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From:
gretl-users-bounces@lists.wfu.edu [
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clarodina@lycos.com [
clarodina@lycos.com]
Sent: Wednesday, December 21, 2011 11:39 AM
To:
gretl-users@lists.wfu.eduSubject: [Gretl-users] Optimization
Hi PS,
Want to have the coefficients maximising t value
Matlab have a add on doing the maximisation
How to do the maximising on gretl?
Clarodina
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