Re: [Gretl-users] Bug with leads of first differences in panels?
On Mon, 6 Dec 2010, Giuseppe Vittucci wrote:
Ok. I replicated the bug with the greenedataset.
Try the following:
open greene14_1.gdt # a panel dataset
logs C
diff l_C(+1)
print l_C l_C1 d_l_C1 --byobs
Thanks, now I see your point. This is now fixed in CVS and
snapshots.
> One point to note is that if you take the first difference of a
> series previously defined as a lead you lose an observation
> unnecessarily at the start of the data. You can preserve the extra
> observation by doing, e.g.
>
> d_l_C1 = l_C(+1) - l_C
Oh, thanks. I didn't realize it cause in DOLS you usually generate the
same number of leads and lags and therefore it always happens to lose
some initial and final observation.
I was actually running the two commands this way because I needed an
easy way to generate and control lags and leads of first differenced
variables for DOLS.
I thought the easiest way in gretl was:
diff l_h(-2 to +2) l_sd(-2 to +2) l_sf(-2 to +2)
ols l_tfp du_* l_h l_sd l_sf d_* --robust
Indeed, if I first take differences:
diff l_h l_sd l_sf
One can easy generate lags (with the appropriate command), but not leads.
Is there a better way to proceed?
Hmm, it might be nice to have a command or function that provides
lags and/or leads in the way that the lags command and function
work for lags only. It's a pity that we made the lag order the
first argument to "lags" -- otherwise we could have implemented
this as a simple extension of what we have already. I'll have to
think about this.
Allin Cottrell