Covariance Matrix with standard errors, and finding the p-value of the F-statistic when taking out regressors
6:12 p.m.
Hi,
I'm an undergrad, just started looking at gretl. It looks amazing; thanks a
bunch for the work.
I have two minor suggestions.
1) I noticed you can make a covariance coefficient matrix. Have you
considered including the standard errors under these, and also using the
asterisks to mark whether the coefficients are statistically significant at
some level? Could that be added as an option? That's how Stock and Watson
seem to present these coefficient matrices, and they also include summary
statistics at the bottom (SER, R-bar squared, and n).
2) The output of a least squares regression is somewhat long, and I've
noticed that I can't selectively copy/paste from it. That's not a big deal
as I can delete stuff after copying, but overall I wonder why that is, and
would like to be able to copy/paste selectively. I've noticed that in
general I can't right-click on these outputs, and I wonder why.
3) It would also be nice to just output an equation that I could copy/paste,
or export somehow.
I imagine this is the best open-source stats program around? Can gretl do
time-series well? How does gretl compare to the commercial software (I've
used Eviews 4.1 Student Version and SPSS, and both seem terribly clunky).
Thanks,
Ben Creasy
Pacific University
6:50 p.m.
By the way, I found out how to find the p-value of the F-statistic while
writing up the email, so ignore the subject headline. This is a nicely
intuitive program. Sorry for the double-email...
On Sun, Mar 30, 2008 at 11:12 AM, Ben <ben(a)pacificu.edu> wrote:
Hi,
I'm an undergrad, just started looking at gretl. It looks amazing; thanks
a bunch for the work.
I have two minor suggestions.
1) I noticed you can make a covariance coefficient matrix. Have you
considered including the standard errors under these, and also using the
asterisks to mark whether the coefficients are statistically significant at
some level? Could that be added as an option? That's how Stock and Watson
seem to present these coefficient matrices, and they also include summary
statistics at the bottom (SER, R-bar squared, and n).
2) The output of a least squares regression is somewhat long, and I've
noticed that I can't selectively copy/paste from it. That's not a big deal
as I can delete stuff after copying, but overall I wonder why that is, and
would like to be able to copy/paste selectively. I've noticed that in
general I can't right-click on these outputs, and I wonder why.
3) It would also be nice to just output an equation that I could
copy/paste, or export somehow.
I imagine this is the best open-source stats program around? Can gretl do
time-series well? How does gretl compare to the commercial software (I've
used Eviews 4.1 Student Version and SPSS, and both seem terribly clunky).
Thanks,
Ben Creasy
Pacific University
9:04 p.m.
On Sun, 30 Mar 2008, Ben wrote:
I'm an undergrad, just started looking at gretl. It looks
amazing; thanks a bunch for the work.
Thanks, glad you like it!
I have two minor suggestions.
1) I noticed you can make a covariance coefficient matrix.
A coefficient covariance matrix? This is a matrix showing the
estimated variances and covariances of the coefficient estimates.
Have you considered including the standard errors under these,
and also using the asterisks to mark whether the coefficients
are statistically significant at some level?
Standard errors and "significance stars" for the regression
coefficients are shown as a regular part of regression output.
I'm not sure what you're asking for here.
That's how Stock and Watson seem to present these coefficient
matrices, and they also include summary statistics at the bottom
(SER, R-bar squared, and n).
Ah, maybe you're thinking of something like the gretl "model
table" (rather than a covariance matrix). Try checking that out.
It's described in section 3.4 of the User's Guide.
2) The output of a least squares regression is somewhat long,
and I've noticed that I can't selectively copy/paste from it.
I think you can copy a selected chunk with Ctrl-C. I'll check
that the next time I'm in Windows.
I've noticed that in general I can't
right-click on these outputs, and I wonder why.
There's not much to offer on right-click, but I guess we could add
a Copy option there.
3) It would also be nice to just output an equation that I could
copy/paste, or export somehow.
That's supported if you have LaTeX installed: Model window
/LaTeX/Copy/Equation.
I imagine this is the best open-source stats program around?
Yes, of course ;-) Well, R is very good in its own way
http://cran.r-project.org
Can gretl do time-series well?
Yes. Its not totally comprehensive but has pretty full
time-series support. Take a look at Chapter 20 in the User's
Guide, for example.
How does gretl compare to the commercial software (I've used
Eviews 4.1 Student Version and SPSS, and both seem terribly
clunky).
There are some things Eviews does that gretl doesn't (and the same
for SPSS). (There are also some things gretl does that the others
don't.) Gretl's numerical accuracy has been thoroughly vetted by
Talha Yalta. As for the interface, I agree with your comment on
clunkiness.
Allin Cottrell
5887
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