Re: [Gretl-users] Sequentially dropping insignifcant regressors

Thanks a lot, this is really helpful! Best, Till -------- Original-Nachricht -------- > Datum: Thu, 6 Aug 2009 11:24:59 -0400 (EDT) > Von: Allin Cottrell <cottrell(a)wfu.edu&gt; > An: Gretl list <gretl-users(a)lists.wfu.edu&gt; > Betreff: Re: [Gretl-users] Sequentially dropping insignifcant regressors > On Thu, 6 Aug 2009, Sven Schreiber wrote: > > > Allin Cottrell schrieb: > > > > >> > > >> ----- > > >> Hi, I have just discovered gretl. It is quite convenient that > > >> insignificant regressors can be sequentially dropped from a > > >> regression. However, sometimes want does not want to drop certain > > >> regressors right away, even if they are insignificant (e.g. variables > > >> in levels in an unrestricted error correction model). Is it possible > > >> to exclude some variables from the routine? How? > > > > > > You can do this quite easily via a script.  I'm not sure it's > > > worth implementing as a built-in command. > > > > sorry Allin, I don't see how, at least not in combination with the > > built-in auto omit feature. (It's clear that a handmade script can be > > written for a specific situation, but then it may be no quicker than > > doing the sequential drop by hand.) > > Agreed, a script would have to be written from scratch and could > not use the auto-omit feature. > > Thinking about this some more I realized that one variant of the > request was trivial to implement.  Namely, if you give a list to > the omit command along with the --auto option, the automatic > elimination is confined to the listed variables.  I've added that > in CVS. > > In that context I realized that there was a hole in "genr" with > regard to lists: you couldn't create a new list by subtraction of > one list from another (although you could subtract an individual > variable from a list). > > That's now fixed, so if you're thinking in terms of a protected > subset of variables that should _not_ be omitted you can do this > sort of thing: > > list X = x* > ols y 0 X > list protect = x3 x4 > list omitv = X - protect > omit omitv --auto > > This might be a little awkward, but then I think it could be > confusing to switch the sense of the list supplied to omit in the > case where the --auto flag is given.  And we have a precedent in > several commands for "list given means operate on the listed > variables; no list given means operate on all relevant variables", > which is how omit --auto now works in CVS. > > Allin > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users -- GRATIS für alle GMX-Mitglieder: Die maxdome Movie-FLAT! Jetzt freischalten unter http://portal.gmx.net/de/go/maxdome01 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users