Re: [Gretl-users] Bug with leads of first differences in panels?
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On Sun, 5 Dec 2010, Giuseppe Vittucci wrote:
I have a panel and I am trying to estimate a Dynamic OLS.
So I generated leads and lags of the variables and then I took first
differences.
However, the program does not seem to properly deal with first
differences of leads.
Here is an example...
What version of gretl are you using? And is your dataset
recognized by gretl as a panel? (It should say "panel" in the
main window, under the listing of series.) I tried the following
and could not replicate the problem you describe:
open greene14_1.gdt # a panel dataset
logs C
series l_C1 = l_C(+1)
diff l_C1
print l_C l_C1 d_l_C1 --byobs
The series l_C1 and d_l_C1 both have missing values at the last
observation for each panel group, as expected.
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
Allin Cottrell
Monday, 6 December
Mon, 6 Dec
2:53 a.m.
New subject: Bug with leads of first differences in panels?
On Sun, 2010-12-05 at 19:15 -0500, Allin Cottrell wrote:
On Sun, 5 Dec 2010, Giuseppe Vittucci wrote:
What version of gretl are you using?
1.9.3
And is your dataset
recognized by gretl as a panel? (It should say "panel" in the
main window, under the listing of series.)
Yes
I tried the following
and could not replicate the problem you describe:
open greene14_1.gdt # a panel dataset
logs C
series l_C1 = l_C(+1)
diff l_C1
print l_C l_C1 d_l_C1 --byobs
The series l_C1 and d_l_C1 both have missing values at the last
observation for each panel group, as expected.
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
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?
Thanks
Giuseppe
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Giuseppe Vittucci