11:08 a.m.
Hi,
Thank you for developing a great package. I do enjoy
using Gretl.
I have a query and some suggestion:
Query:
Are you planning to develop a GMM module in gretl?
GMM is increasingly popular amongst economist, see
Hayashi(2001) and Alastair R. Hall (2005).
Suggestions:
1. Importing of Excel and other non-Gretl data file
should be more flexible. I tried importing an Excel
file without headings and could not. Have to type in
headings before import.
2. Very often, I add new variables by defining the
variables myself. But this is 2-3 layers down the
menu.Possible to Define New variables up one level?
3. Heteroskedasticity-correction should apply to panel
models or pooled models as well (may wish to take a
leave from Eviews 5).
4. Aspects of panel data modules could be improved,
making it easier to do fixed effect and random
effect.Panel data is very popular nowadays.
5. Running White's tests for heteroskedasticity often
crash the program.
I would be happy to elaborate on above if required.
Thank you and have a nice day
regards
chee kian
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2:28 p.m.
On Wed, 15 Feb 2006, Al Leong wrote:
Thank you for developing a great package. I do enjoy using Gretl.
Glad to hear it!
Query:
Are you planning to develop a GMM module in gretl?
GMM is increasingly popular amongst economist, see
Hayashi(2001) and Alastair R. Hall (2005).
Not right now, but it may come, in some form. See
http://ricardo.ecn.wfu.edu/pipermail/gretl-users/2006-January/000302.html
1. Importing of Excel and other non-Gretl data file
should be more flexible. I tried importing an Excel
file without headings and could not. Have to type in
headings before import.
OK. At present CSV/text files can be opened OK without headings
(gretl will supply variable names v1, v2, ...). I think this could
be extended fairly easily to Excel imports.
2. Very often, I add new variables by defining the
variables myself. But this is 2-3 layers down the
menu.Possible to Define New variables up one level?
This could be more obvious. But note that you do have "Define new
variable" at the foot of the (top-level) Variable menu. Also,
there's a keyboard shortcut, namely 'g' (for "generate").
3. Heteroskedasticity-correction should apply to panel models or
pooled models as well (may wish to take a leave from Eviews 5).
4. Aspects of panel data modules could be improved, making it
easier to do fixed effect and random effect.Panel data is very
popular nowadays.
Yes, the handling of panel data needs some attention. Probably not
for the next release (which should be soon), but maybe for the one
after that.
5. Running White's tests for heteroskedasticity often
crash the program.
Please provide a case (datafile and script, or GUI instructions)
that produces the problem. This is not something I've heard of
(lately). Thanks.
Allin Cottrell
8:04 p.m.
New subject: Excel and gnumeric imports
On Wed, 15 Feb 2006, I wrote:
> 1. Importing of Excel and other non-Gretl data file
> should be more flexible. I tried importing an Excel
> file without headings and could not. Have to type in
> headings before import.
OK. At present CSV/text files can be opened OK without headings
(gretl will supply variable names v1, v2, ...). I think this
could be extended fairly easily to Excel imports.
That's now in gretl CVS, for Excel and Gnumeric worksheets.
Allin Cottrell
2:31 p.m.
On Wed, February 15, 2006 12:08, Al Leong wrote:
Hi,
Thank you for developing a great package. I do enjoy
using Gretl.
I have a query and some suggestion:
Query:
Are you planning to develop a GMM module in gretl?
GMM is increasingly popular amongst economist, see
Hayashi(2001) and Alastair R. Hall (2005).
This comes up now and then. Yes, we have some plans, but I'm afraid not for
the near future. *Some* special cases of GMM estimators might be done sooner
(panel data estimators, for example --- see below).
2. Very often, I add new variables by defining the
variables myself. But this is 2-3 layers down the
menu.Possible to Define New variables up one level?
Suggestion: use the console or write a script. Productivity increases by
several orders of magnitude.
3. Heteroskedasticity-correction should apply to panel
models or pooled models as well (may wish to take a
leave from Eviews 5).
4. Aspects of panel data modules could be improved,
making it easier to do fixed effect and random
effect.Panel data is very popular nowadays.
As Allin knows, I am not particularly happy with the current state of panel
data estimators. The thing that IMO we need most badly is support for dynamic
panel data models; I think that at least the Arellano-Bond estimator should be
put in asap.
I have a couple of ideas in mind; Allin and I discussed the issues at some
length when he came to Ancona last year, and IIRC we agreed that our panel
code needs some serious reshaping. It can be done, but it'll take some time.
In the meantime, we got a bit carried away with time-series related work plus
some other stuff which is not ready for public consumption yet. But it's
definitely in our long-term todo list.
5. Running White's tests for heteroskedasticity often
crash the program.
The trouble with White's test is that with a large number of regressors you
get a HUGE number of additional variables in the auxiliary regression used to
compute the actual test statistic. Your problem may be related to that, in
terms of memory issues, of the program simply taking too long to deliver the
result and only seemingly crashing. Could you post a test case?
--
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona
6909
days inactive
6909
days old
3 comments
3 participants
participants (3)
-
Al Leong -
Allin Cottrell -
Riccardo Jack Lucchetti