1:30 p.m.
May I ask, what does it mean if you take the log difference of both the
dependent and independent variables in an OLS, and then rho and DW stat
don't even appear in the output? The White's test value is quite small...
if i swap dependent/independent, the rho and DW stat reappear... Thanks TMN
12:14 a.m.
Ah! I didn't see the line about missing observations. Maybe that's it?
[Paste below]:
Model 14: OLS, using observations 1900-1990 (T = 70)
Missing or incomplete observations dropped: 21
Dependent variable: ld_TotalContrastive
coefficient std. error t-ratio p-value
-------------------------------------------------------
ld_BOTH 0.632254 0.293004 2.158 0.0344 **
Mean dependent var -0.055569 S.D. dependent var 0.965827
Sum squared resid 60.49837 S.E. of regression 0.936370
R-squared 0.063216 Adjusted R-squared 0.063216
F(1, 69) 4.656229 P-value(F) 0.034424
Log-likelihood -94.21994 Akaike criterion 190.4399
Schwarz criterion 192.6884 Hannan-Quinn 191.3330
White's test for heteroskedasticity -
Null hypothesis: heteroskedasticity not present
Test statistic: LM = 8.0473
with p-value = P(Chi-square(1) > 8.0473) = 0.00455716
On Sun, Apr 27, 2014 at 10:22 PM, Sven Schreiber <svetosch(a)gmx.net> wrote:
--
Best regards,
Timothy M. Nall
Assistant Professor
National Quemoy University
Kinmen, Taiwan
6:24 a.m.
Exactly!
--- Оригінальне повідомлення ---
Від кого: "Tim Nall" < tnall.ling(a)gmail.com >
Дата: 28 квітня 2014, 03:16:05
Ah! I didn't see the line about missing observations. Maybe that's it?
[Paste below]:
Model 14: OLS, using observations 1900-1990 (T = 70)
Missing or incomplete observations dropped: 21
Dependent variable: ld_TotalContrastive
coefficient std. error t-ratio p-value
-------------------------------------------------------
ld_BOTH 0.632254 0.293004 2.158 0.0344 **
Mean dependent var -0.055569 S.D. dependent var 0.965827
Sum squared resid 60.49837 S.E. of regression 0.936370
R-squared 0.063216 Adjusted R-squared 0.063216
F(1, 69) 4.656229 P-value(F) 0.034424
Log-likelihood -94.21994 Akaike criterion 190.4399
Schwarz criterion 192.6884 Hannan-Quinn 191.3330
White's test for heteroskedasticity -
Null hypothesis: heteroskedasticity not present
Test statistic: LM = 8.0473
with p-value = P(Chi-square(1) > 8.0473) = 0.00455716
On Sun, Apr 27, 2014 at 10:22 PM, Sven Schreiber < svetosch(a)gmx.net > wrote:
--
Best regards,
Timothy M. Nall
Assistant Professor
National Quemoy University
Kinmen, Taiwan
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3:40 p.m.
DW is incorrect in cross-section setting, that's why DW option for cross-sections is
blank. Try to change dataset structure
--- Оригінальне повідомлення ---
Від кого: "Tim Nall" < tnall.ling(a)gmail.com >
Дата: 27 квітня 2014, 16:32:55
May I ask, what does it mean if you take the log difference of both the dependent and
independent variables in an OLS, and then rho and DW stat don't even appear in the
output? The White's test value is quite small... if i swap dependent/independent, the
rho and DW stat reappear... Thanks TMN
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Gretl-users(a)lists.wfu.edu
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4:37 p.m.
My first answer is out of topic: one can't obtain differences for cross-sections.
"No rho" sounds starange
For example, (denmark.gdt from gretl native data) open
/usr/local/share/gretl/data/misc/denmark.gdt ols LRM const LRY LRM(-1)
from results Schwarz criterion −204.8132 Hannan-Quinn −208.4789 rho
0.096379 Durbin's h 0.799432
DW is substituted by Durbin's h becase of LRM(-1) in the right side Supply data set
(best variant - name of a gretl data file) and commands
--- Оригінальне повідомлення ---
Від кого: "Tim Nall" < tnall.ling(a)gmail.com >
Дата: 27 квітня 2014, 16:32:55
May I ask, what does it mean if you take the log difference of both the dependent and
independent variables in an OLS, and then rho and DW stat don't even appear in the
output? The White's test value is quite small... if i swap dependent/independent, the
rho and DW stat reappear... Thanks TMN
_______________________________________________
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Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
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5 comments
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participants (3)
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oleg_komashko＠ukr.net -
Sven Schreiber -
Tim Nall