7:44 p.m.
Only occurs with annual data
Jmmb
Enviado de Samsung Mobile.
<div>-------- Mensagem original --------</div><div>De : Allin Cottrell
<cottrell(a)wfu.edu> </div><div>Data:04/12/2015 18:51 (GMT+00:00)
</div><div>Para: Gretl list <gretl-users(a)lists.wfu.edu>
</div><div>Assunto: Re: [Gretl-users] help </div><div>
</div>On Fri, 4 Dec 2015, José Belbute wrote:
I've correctly set my data as a "time series" but I
still have the menu
Add/Periodic dummies' not active.
What am I doing wrong (It should be mentioned that I've the gretl 2015d
version)?
What's the periodicity of your data?
Allin Cottrell
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8:41 p.m.
New subject: help
On Fri, 4 Dec 2015, jbelbute wrote:
JMMB:
> I've correctly set my data as a "time series" but I still have
> the menu Add/Periodic dummies' not active. What am I doing wrong
> (It should be mentioned that I've the gretl 2015d version)?
Allin:
What's the periodicity of your data?
JMMB:
Only occurs with annual data
Well, then there are no sub-periods (months, quarters, hours,
whatever) for which to add periodic dummies.
If you want a dummy variable for each year (unusual, but hey) you
can do
list DT = dummify(time)
Allin Cottrell
8:32 a.m.
New subject: help
On Fri, 4 Dec 2015, Allin Cottrell wrote:
If you want a dummy variable for each year (unusual, but hey) you can
do
list DT = dummify(time)
Not so unusual with panel datasets, in fact,
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
12:59 p.m.
New subject: help
On Sat, 5 Dec 2015, Riccardo (Jack) Lucchetti wrote:
On Fri, 4 Dec 2015, Allin Cottrell wrote:
> If you want a dummy variable for each year (unusual, but hey) you can do
>
> list DT = dummify(time)
Not so unusual with panel datasets, in fact,
True, and for that reason the "Time dummies" option would be active
under the Add menu in the panel data case.
Apparently José is talking about annual time series data, and wishes
to construct "custom" dummies for particular periods. This is not an
automatic action but is easy enough. Example
series WW2 = year > 1939 && year < 1946
If you don't have a "year" variable you can generate one as, e.g.,
series year = time + 1979
for data that start in 1980.
Allin Cottrell
3:23 p.m.
New subject: help
Yes,
I’m referring to time dummy variables to control for a (previously) known
(or unknown) structural break at a specific point um time, whatever the
frequency of our dataset – daily, weekly, monthly,….
In particular, consider the fooling equation to be estimated
y(t)=a0+b0t+a1DM+b1DT+x(t)
where t is time, ai and bi (with i=0,1) are parameters, y and x are
observed variables – for example, inflation and unemployment, – and DM and
DT are the needed dummies. The dummies take the following values: DM =1 if
t>TB and DM=0, otherwise, and DT = (t-TB) if t>TB and DM=0 otherwise. Note
that TB is the time of a possible structural change.
Clearly, it is quite simple to generate and include these time dummies in
our dataset using excel format files.
My point is how to generate these dummies using gretl.
Regards
José
José M. M. Belbute, Ph.D.
*Department of Economics | Centre for Advanced Studies in Management and
Economics (CEFAGE)*
On Sat, Dec 5, 2015 at 12:59 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Sat, 5 Dec 2015, Riccardo (Jack) Lucchetti wrote:
On Fri, 4 Dec 2015, Allin Cottrell wrote:
>
> If you want a dummy variable for each year (unusual, but hey) you can do
>>
>> list DT = dummify(time)
>>
>
> Not so unusual with panel datasets, in fact,
>
True, and for that reason the "Time dummies" option would be active under
the Add menu in the panel data case.
Apparently José is talking about annual time series data, and wishes to
construct "custom" dummies for particular periods. This is not an automatic
action but is easy enough. Example
series WW2 = year > 1939 && year < 1946
If you don't have a "year" variable you can generate one as, e.g.,
series year = time + 1979
for data that start in 1980.
Allin Cottrell
3:41 p.m.
New subject: help
On Sat, 5 Dec 2015, José Belbute wrote:
Yes,
I’m referring to time dummy variables to control for a (previously) known
(or unknown) structural break at a specific point um time, whatever the
frequency of our dataset – daily, weekly, monthly,….
In particular, consider the fooling equation to be estimated
y(t)=a0+b0t+a1DM+b1DT+x(t)
where t is time, ai and bi (with i=0,1) are parameters, y and x are
observed variables – for example, inflation and unemployment, – and DM and
DT are the needed dummies. The dummies take the following values: DM =1 if
t>TB and DM=0, otherwise, and DT = (t-TB) if t>TB and DM=0 otherwise. Note
that TB is the time of a possible structural change.
Clearly, it is quite simple to generate and include these time dummies in
our dataset using excel format files.
My point is how to generate these dummies using gretl.
scalar TB = <whatever you want>
series DM = t > TB
series DT = t > TB ? t - TB : 0
where "t" is a built-in time variable that starts at 1. You should
take a look at the Hansl Primer (it's under the Help menu).
Allin Cottrell
3:53 p.m.
New subject: help
Thank you very much
JMMB
José M. M. Belbute, Ph.D.
*Department of Economics | Centre for Advanced Studies in Management and
Economics (CEFAGE)*
On Sat, Dec 5, 2015 at 3:41 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Sat, 5 Dec 2015, José Belbute wrote:
Yes,
>
> I’m referring to time dummy variables to control for a (previously) known
> (or unknown) structural break at a specific point um time, whatever the
> frequency of our dataset – daily, weekly, monthly,….
>
> In particular, consider the fooling equation to be estimated
>
> y(t)=a0+b0t+a1DM+b1DT+x(t)
>
> where t is time, ai and bi (with i=0,1) are parameters, y and x are
> observed variables – for example, inflation and unemployment, – and DM and
> DT are the needed dummies. The dummies take the following values: DM =1 if
> t>TB and DM=0, otherwise, and DT = (t-TB) if t>TB and DM=0 otherwise. Note
> that TB is the time of a possible structural change.
>
> Clearly, it is quite simple to generate and include these time dummies in
> our dataset using excel format files.
>
> My point is how to generate these dummies using gretl.
>
scalar TB = <whatever you want>
series DM = t > TB
series DT = t > TB ? t - TB : 0
where "t" is a built-in time variable that starts at 1. You should take a
look at the Hansl Primer (it's under the Help menu).
Allin Cottrell
3304
days inactive
3305
days old
6 comments
4 participants
participants (4)
-
Allin Cottrell -
jbelbute -
José Belbute
-
Riccardo (Jack) Lucchetti