11:01 p.m.
Hello Everyone:
Is there a simple way to get and save the residuals in the Bai-Perron and thresh_infer 0.1
packages?
Thanks
8:11 a.m.
On 17/03/2025 00:01, Olivo Victor wrote:
Hello Everyone:
Is there a simple way to get and save the residuals in the Bai-Perron
and thresh_infer 0.1 packages?
For ther Bai-Perron package, the answer is: not at the moment, I'm
afraid. Oddily enough, we never thought of that, which in hindsight
seems quite silly, sorry.
I'll try to work on the package to make residuals (and fitted values)
available later this week.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
11:46 p.m.
Am 17.03.2025 um 09:11 schrieb Riccardo (Jack) Lucchetti:
On 17/03/2025 00:01, Olivo Victor wrote:
> Hello Everyone:
>
> Is there a simple way to get and save the residuals in the Bai-Perron
> and thresh_infer 0.1 packages?
For ther Bai-Perron package,
Ahem, for the record, Jack, our package is called "StrucBreak".
About thresh_infer: Thanks for the feedback; neither the basic inputs
like the specified regressor list nor auxiliary output like the
residuals are currently stored in the returned bundle, and they probably
should be in the next version of the package.
Currently, I think you can get the residuals for the estimated
two-regime model as follows:
= y - (b.whichregime==1) * lincomb(const || rhs, b.Regime1.coeff) -
(b.whichregime==2) * lincomb(const || rhs, b.Regime2.coeff)
Here, "y" stands for the name of your dependent variable series, "rhs"
stands for the list of regressors, and "b" is your chosen name for the
returned bundle from the H_thresh_estim call. Adjust the line
accordingly. All the other names and identifiers are given by the
thresh_infer package. (Except "lincomb", which is a gretl function for
doing --guess what-- a linear combination.) OK, the line is a bit long,
but quite intuitive and self-explanatory, I think. Please verify if the
result makes sense, because I haven't really tested it yet.
cheers
sven
4:10 p.m.
Thanks very much for the feedback.
Best regards
On Monday, March 17, 2025 at 11:45:29 PM EDT, Sven Schreiber
<sven.schreiber(a)fu-berlin.de> wrote:
Am 17.03.2025 um 09:11 schrieb Riccardo (Jack) Lucchetti:
On 17/03/2025 00:01, Olivo Victor wrote:
> Hello Everyone:
>
> Is there a simple way to get and save the residuals in the Bai-Perron
> and thresh_infer 0.1 packages?
For ther Bai-Perron package,
Ahem, for the record, Jack, our package is called "StrucBreak".
About thresh_infer: Thanks for the feedback; neither the basic inputs
like the specified regressor list nor auxiliary output like the
residuals are currently stored in the returned bundle, and they probably
should be in the next version of the package.
Currently, I think you can get the residuals for the estimated
two-regime model as follows:
= y - (b.whichregime==1) * lincomb(const || rhs, b.Regime1.coeff) -
(b.whichregime==2) * lincomb(const || rhs, b.Regime2.coeff)
Here, "y" stands for the name of your dependent variable series, "rhs"
stands for the list of regressors, and "b" is your chosen name for the
returned bundle from the H_thresh_estim call. Adjust the line
accordingly. All the other names and identifiers are given by the
thresh_infer package. (Except "lincomb", which is a gretl function for
doing --guess what-- a linear combination.) OK, the line is a bit long,
but quite intuitive and self-explanatory, I think. Please verify if the
result makes sense, because I haven't really tested it yet.
cheers
sven
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4:12 p.m.
Great and thanks.
Best regards
On Tuesday, March 18, 2025 at 12:10:32 AM EDT, Riccardo (Jack) Lucchetti
<p002264(a)staff.univpm.it> wrote:
On 17/03/2025 00:01, Olivo Victor wrote:
Hello Everyone:
Is there a simple way to get and save the residuals in the Bai-Perron
and thresh_infer 0.1 packages?
For ther Bai-Perron package, the answer is: not at the moment, I'm
afraid. Oddily enough, we never thought of that, which in hindsight
seems quite silly, sorry.
I'll try to work on the package to make residuals (and fitted values)
available later this week.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
_______________________________________________
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/
12:38 p.m.
Am 21.03.2025 um 17:12 schrieb Olivo Victor:
Great and thanks.
Best regards
The new StrucBreak package version 1.0 is now available on the gretl
package server, and it gives you the estimated residuals for your chosen
specification, under the bundle member key "uhat". (Along with the
fitted values "yhat" and the regime indicator series "whichregime".)
cheers
sven
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5 comments
3 participants
participants (3)
-
Olivo Victor -
Riccardo (Jack) Lucchetti -
Sven Schreiber