Am 17.08.2022 um 08:12 schrieb JOSE FRANCISCO PERLES RIBES: > Dear team: > > I have recently read the paper of Prof. Hansen "Jackknife Standard > Errors for Clustered Regression" > (https://www.ssc.wisc.edu/~bhansen/papers/tcauchy.pdf) and found it > very interesting. I have checked that for the non-clustered scenario > the HC3a option in Gretl is the Jackknife Professor Hansen's favorite > option (according to the Gretl command reference Variant 3a is the > MacKinnon–White "jackknife" procedure). > > My question is, for the clustered regression which would be the option > in Gretl (as stated in the paper, in Stata it would be > vce(jackknife,mse).? > Hi José, from section 22.5 in the guide (and also checking the doc for the --cluster option for the ols command) I tend to think that in gretl currently these are mutually exclusive options, so it wouldn't currently be possible. Maybe someone with more experience in this area can weigh in. I'm noting that combining the --cluster and --jackknife options does not produce an error, however. While this would be correct according to the spec (cluster just overrides), I wonder whether it's a good idea to effectively ignore an unsuitable option silently. If a user wants to override, couldn't she be expected to remove the jackknife option explicitly? But that's a different issue not directly related to your question. thanks sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/

On Thu, Aug 18, 2022 at 11:56 AM Sven Schreiber <sven.schreiber(a)fu-berlin.de&gt; wrote: > > Am 17.08.2022 um 08:12 schrieb JOSE FRANCISCO PERLES RIBES: > > Dear team: > > > > I have recently read the paper of Prof. Hansen "Jackknife Standard > > Errors for Clustered Regression" > > (https://www.ssc.wisc.edu/~bhansen/papers/tcauchy.pdf) and found it > > very interesting. I have checked that for the non-clustered scenario > > the HC3a option in Gretl is the Jackknife Professor Hansen's favorite > > option (according to the Gretl command reference Variant 3a is the > > MacKinnon–White "jackknife" procedure). > > > > My question is, for the clustered regression which would be the option > > in Gretl (as stated in the paper, in Stata it would be > > vce(jackknife,mse).? > > > Hi José, from section 22.5 in the guide (and also checking the doc for > the --cluster option for the ols command) I tend to think that in gretl > currently these are mutually exclusive options, so it wouldn't currently > be possible. Maybe someone with more experience in this area can weigh in. > > I'm noting that combining the --cluster and --jackknife options does not > produce an error, however. To expand on Sven's point: at present the --jackknife option is only available for OLS estimation (and not in the case of pooled panel OLS). The --cluster option is available more generally, though not for all estimators. Sven's right that gretl hasn't been very clear on the issue of compatibility of --jackknife and --cluster, but that's now fixed in git and snapshots: as things stand these two options are not compatible, and we now complain if both options are given. At some point we may be able to figure out Hansen's Jackknife + clustering, but that combination is not supported yet. Allin _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/