1:31 a.m.
Thank you for answer
I have checked the again my estimation procedure...
and I noticed that there is the some mistake in AIDS case...
that means that the estimated coefficients of AIDS model regressed by GRETL
has the same coefficient...
It is almost same in the 4th digit.
But the Rotterdam Case...I am not sure..
maybe there is a mistake on the estimation...method...I lost my confidence
on it
anyway..following is the code I wrote
and I attached the data
-----------------------------------------------------------------------
genr DivisiaQ = sw1*dq1 + sw2*dq2 + sw3*dq3 + sw4*dq4
genr wdq1 = sw1*dq1
genr wdq2 = sw2*dq2
genr wdq3 = sw1*dq3
genr wdq4 = sw2*dq4
genr rqa = wdq1+wdq2+wdq3+wdq4
genr ddp1=dp1-dp4
genr ddp2=dp2-dp4
genr ddp3=dp3-dp4
system name="Rotterdam"
equation wdq1 DivisiaQ ddp1 ddp2 ddp3
equation wdq2 DivisiaQ ddp1 ddp2 ddp3
equation wdq3 DivisiaQ ddp1 ddp2 ddp3
end system
restrict "Rotterdam"
b[1,3]-b[2,2]=0
b[1,4]-b[3,2]=0
b[2,4]-b[3,3]=0
end restrict
estimate "Rotterdam" method=sur --iterate
estimate "Rotterdam" method=3sls --iterate
------------------------------------------------------------------------------------------
This one is alternative but I think both are same
--------------------------------------
genr DivisiaQ = sw1*dq1 + sw2*dq2 + sw3*dq3 + sw4*dq4
genr wdq1 = sw1*dq1
genr wdq2 = sw2*dq2
genr wdq3 = sw1*dq3
genr wdq4 = sw2*dq4
genr rqa = wdq1+wdq2+wdq3+wdq4
system name="Rotterdam"
equation wdq1 DivisiaQ dp1 dp2 dp3 dp4
equation wdq2 DivisiaQ dp1 dp2 dp3 dp4
equation wdq3 DivisiaQ dp1 dp2 dp3 dp4
end system
restrict "Rotterdam"
b[1,2]+b[1,3]+b[1,4]+b[1,5]=0
b[2,2]+b[2,3]+b[2,4]+b[2,5]=0
b[3,2]+b[3,3]+b[3,4]+b[3,5]=0
b[1,3]-b[2,2]=0
b[1,4]-b[3,2]=0
b[2,4]-b[3,3]=0
end restrict
estimate "Rotterdam" method=sur --iterate
estimate "Rotterdam" method=3sls --iterate
------------------------------------------------------------------
estimation result
in this case I have the following estimation summery
theta p1 p2 p3 p4 0.59364 -0.1118 0.018 0.51994 -0.4262 0.03605 0.018
-0.0070 -0.0279 0.01695 0.33327 0.51994 -0.0279 -1.8410 1.349 0.03704
-0.4262 0.01695 1.349 -0.9398
But from R and RATS
I have
theta pi1
pi2
pi3
pi4
[1,] 0.44711 -0.9208 0.04375 0.87236 0.00473 [2,] 0.04094 0.04375 -0.0090
-0.0372 0.00242 [3,] 0.50526 0.87236 -0.0372 -0.8277 -0.0074 [4,] 0.00669
0.00473 0.00242 -0.0074 0.00029
Thank you
Sung Jin Lim
On Sun, Jan 8, 2012 at 11:00 AM, <gretl-users-request(a)lists.wfu.edu> wrote:
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Today's Topics:
1. Different coefficient in ISUR (caspisun(a)gmail.com)
2. Re: Different coefficient in ISUR (Cottrell, Allin)
----------------------------------------------------------------------
Message: 1
Date: Sun, 8 Jan 2012 01:09:04 -0600
From: "caspisun(a)gmail.com" <caspisun(a)gmail.com>
Subject: [Gretl-users] Different coefficient in ISUR
To: gretl-users(a)lists.wfu.edu
Message-ID:
<CAGn_d0vaP08adKzmyuQhEviQTbuwHw3b1dzm6Gpk+nEMJDf2Tw(a)mail.gmail.com
>
Content-Type: text/plain; charset="iso-8859-1"
Hi all.
I need helps and suggestion.
I have estimated the AIDS(almost ideal demands system) and Rotterdam demand
system using Iterative SUR(Seeming Unrelated Regression) and 3SLS.
Recently, I have found that the estimated result from "Gretl" are quite
different from the Other package (Such as R, RATS)
In case of R and RATS...the estimated coefficient are same exactly.
after I imposing the restriction on the model...
the estimated coefficient are exactly same....
But in CASE of GRETL....the estimated coefficient are different from above
software.
In my thought, it should be same if the estimation method is right.
Of course, I have double check the model I estimated...No problems on it
Any suggestion?
or can you give answers..why this kinds of situation happened?
or is it error in the method?
Sincerely
Sung Jin Lim
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Message: 2
Date: Sun, 8 Jan 2012 16:49:23 +0000
From: "Cottrell, Allin" <cottrell(a)wfu.edu>
Subject: Re: [Gretl-users] Different coefficient in ISUR
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID:
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>
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On Sun, Jan 8, 2012 at 7:09 AM, caspisun(a)gmail.com <caspisun(a)gmail.com>
wrote:
>
> I have estimated the AIDS(almost ideal demands system) and Rotterdam
demand
> system using Iterative SUR(Seeming Unrelated Regression) and 3SLS.
> Recently, I have found that the estimated result from "Gretl" are? quite
> different from the Other package (Such as R, RATS)
>
> In case of R and RATS...the estimated coefficient are same exactly.
> after I imposing the restriction on the model...
> the estimated coefficient are exactly same....
>
> But in CASE of GRETL....the estimated coefficient are different from
above
> software.
>
> In my thought, it should be same if the estimation method is right.
> Of course, I have double check the model I estimated...No problems on it
>
> Any suggestion?
> or can you give answers..why this kinds of situation happened?
> or is it error in the method?
We can't answer this without seeing your model and data. Perhaps you can
post a script specifying the model. If the data file is too big to
post here, you
can send it to me off-list (cottrell at wfu.edu).
Allin Cottrell
------------------------------
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End of Gretl-users Digest, Vol 60, Issue 6
******************************************
7:52 p.m.
New subject: Gretl-users Digest, Vol 60, Issue 6
On 09-01-2012, at 02:31, Sung Jin Lim wrote:
Thank you for answer
I have checked the again my estimation procedure...
and I noticed that there is the some mistake in AIDS case...
that means that the estimated coefficients of AIDS model regressed by GRETL has the same
coefficient...
It is almost same in the 4th digit.
But the Rotterdam Case...I am not sure..
maybe there is a mistake on the estimation...method...I lost my confidence on it
anyway..following is the code I wrote
and I attached the data
-----------------------------------------------------------------------
genr DivisiaQ = sw1*dq1 + sw2*dq2 + sw3*dq3 + sw4*dq4
genr wdq1 = sw1*dq1
genr wdq2 = sw2*dq2
genr wdq3 = sw1*dq3
genr wdq4 = sw2*dq4
genr rqa = wdq1+wdq2+wdq3+wdq4
genr ddp1=dp1-dp4
genr ddp2=dp2-dp4
genr ddp3=dp3-dp4
system name="Rotterdam"
equation wdq1 DivisiaQ ddp1 ddp2 ddp3
equation wdq2 DivisiaQ ddp1 ddp2 ddp3
equation wdq3 DivisiaQ ddp1 ddp2 ddp3
end system
restrict "Rotterdam"
b[1,3]-b[2,2]=0
b[1,4]-b[3,2]=0
b[2,4]-b[3,3]=0
end restrict
estimate "Rotterdam" method=sur --iterate
estimate "Rotterdam" method=3sls --iterate
........
------------------------------------------------------------------
estimation result
in this case I have the following estimation summery
theta p1 p2 p3 p4
0.59364 −0.1118 0.018 0.51994 −0.4262
0.03605 0.018 −0.0070 −0.0279 0.01695
0.33327 0.51994 −0.0279 −1.8410 1.349
0.03704 −0.4262 0.01695 1.349 −0.9398
But from R and RATS
I have
theta pi1
pi2
pi3
pi4
[1,] 0.44711 −0.9208 0.04375 0.87236 0.00473
[2,] 0.04094 0.04375 −0.0090 −0.0372 0.00242
[3,] 0.50526 0.87236 −0.0372 −0.8277 −0.0074
[4,] 0.00669 0.00473 0.00242 −0.0074 0.00029
You should also give the R script you used. Otherwise there is no way anybody can check
now.
Berend
10:59 p.m.
New subject: Gretl-users Digest, Vol 60, Issue 6
On Sun, 8 Jan 2012, Sung Jin Lim wrote:
Thank you for answer
I have checked the again my estimation procedure...
and I noticed that there is the some mistake in AIDS case...
that means that the estimated coefficients of AIDS model regressed by GRETL
has the same coefficient...
It is almost same in the 4th digit.
But the Rotterdam Case...I am not sure..
maybe there is a mistake on the estimation...method...I lost my confidence
on it
anyway..following is the code I wrote
and I attached the data
[...]
I tried your script using gretl and R (R 2.14.1 with systemfit
1.1-10). The results were essentially the same. Here is my script:
<hansl>
open book8.xls
genr DivisiaQ = sw1*dq1 + sw2*dq2 + sw3*dq3 + sw4*dq4
genr wdq1 = sw1*dq1
genr wdq2 = sw2*dq2
genr wdq3 = sw1*dq3
genr wdq4 = sw2*dq4
genr ddp1=dp1-dp4
genr ddp2=dp2-dp4
genr ddp3=dp3-dp4
system name="Rotterdam"
equation wdq1 DivisiaQ ddp1 ddp2 ddp3
equation wdq2 DivisiaQ ddp1 ddp2 ddp3
equation wdq3 DivisiaQ ddp1 ddp2 ddp3
end system
# Unrestricted estimation
estimate "Rotterdam" method=sur
restrict "Rotterdam"
b[1,3] - b[2,2] = 0
b[1,4] - b[3,2] = 0
b[2,4] - b[3,3] = 0
end restrict
# Restricted estimation, iterated
estimate "Rotterdam" method=sur --iterate
foreign language=R --send-data
library(systemfit)
e1 <- wdq1 ~ 0 + DivisiaQ + ddp1 + ddp2 + ddp3
e2 <- wdq2 ~ 0 + DivisiaQ + ddp1 + ddp2 + ddp3
e3 <- wdq3 ~ 0 + DivisiaQ + ddp1 + ddp2 + ddp3
system <- list(e1, e2, e3)
# Unrestricted estimation
fit1 <- systemfit(system, method="SUR")
print(summary(fit1))
R <- matrix(0,3,12)
q <- matrix(0,3,1)
R[1,3] <- 1
R[1,6] <- -1
R[2,4] = 1
R[2,10] = -1
R[3,8] = 1
R[3,11] = -1
# Restricted estimation, iterated
fit2 <- systemfit(system, method="SUR", restrict.matrix=R,
restrict.rhs=q, maxiter=80)
print(summary(fit2))
lrtest(fit2, fit1)
end foreign
</hansl>
The one thing that seems like a bug in gretl is that you're able to
estimate the "Rotterdam" system using 3SLS without generating an
error, since you have not specified any instruments. I'll look into
that. (Gretl seems to be falling back to consider all the regressors
as exogenous, but that seems too lax.)
Allin Cottrell
4490
days inactive
4490
days old
2 comments
3 participants
participants (3)
-
Allin Cottrell -
Berend Hasselman -
Sung Jin Lim