I just got it in R (well, but it would be great to do it in Gretl too, at
least for comparison of algorithms) but the features of lag-lead and
sandwich for the t-statistics could be two good reasons to create a time
Obrigado / Thanks for your time and attention.
Claudio D. Shikida
Esta mensagem pode conter informação confidencial e/ou privilegiada. Se
você não for o destinatário ou a pessoa autorizada a receber esta mensagem,
não poderá usar, copiar ou divulgar as informações nela contidas ou tomar
qualquer ação baseada nessas informações. Se você recebeu esta mensagem por
engano, por favor avise imediatamente o remetente, respondendo o presente
e-mail e apague-o em seguida.
This message may contain confidential and/or privileged information. If you
are not the addressee or authorized to receive this for the addressee, you
must not use, copy, disclose or take any action based on this message or
any information herein. If you have received this message in error, please
advise the sender immediately by reply e-mail and delete this message.
On Tue, Nov 12, 2013 at 1:09 PM, Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 12.11.2013 11:43, schrieb Claudio Shikida (敷田治誠 クラウジオ):
> Just one question: is there any script for gretl that calculate DOLS
> (Stock & Watson 1993)?
In principle it's easy to do, since x(+1) gives you the lead (and thus
x(+1)-x the lead diff, and so on), which you can use with the ols
command; if necessary, create the regressors in a loop. Nothing special
that you need apart from that, I'd say.
However, it's true that while there's 'lags()' to generate list of lags
quickly, this doesn't seem to cover leads, and IMHO this would be a
Also, because it's impossible to enter leads via GUI into the standard
OLS-dialog, perhaps it's worth thinking about a separate DOLS entry in
the time series submenu?
Gretl-users mailing list