Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. retrieving F-stat and p-value from a VAR system (cociuba mihai) 2. Re: Constant in log-likelihood and graph of two densities together (Allin Cottrell) 3. Re: retrieving F-stat and p-value from a VAR system (Allin Cottrell) 4. Re: retrieving F-stat and p-value from a VAR system (Allin Cottrell) 5. Implement new criterion for var lag selection (Gian Lorenzo Spisso) 6. Re: Implement new criterion for var lag selection (Riccardo (Jack) Lucchetti) 7. Re: Implement new criterion for var lag selection (Gian Lorenzo Spisso) ---------------------------------------------------------------------- Message: 1 Date: Tue, 9 Jul 2013 01:44:11 +0300 From: cociuba mihai <cociuba(a)gmail.com&gt; Subject: [Gretl-users] retrieving F-stat and p-value from a VAR system To: gretl-users(a)lists.wfu.edu Message-ID: <CADSiGnWsNfdNat0ZNGzib+Qg6TsANuRGS3NTPO0id= qY36zcXQ(a)mail.gmail.com&gt; Content-Type: text/plain; charset="iso-8859-1" Dear GRETL users, I'm testing Granger causality between inflation and inflation uncertainty for 15 countries and I would like to retrieve the result of the Wald test in a matrix, the script that I try to run gets stuck at the last step. Any suggestion are welcome. ###hansl### open Table_17.3.gdt var 10 M1 R --lagselect a=2 b=3 c=6 d=8 #number of rows 4, but the number of F statistics reported in the VAR output for #every equations is 3 so maybe I need more? scalar T = 4 #generate the matrix with 4 rows and 2 colums matrix F_stat = zeros(T,2) #rename the colums # is it possible to have also the name of the F test? colnames(F_stat, "t-stat p-value") loop foreach i a b c d var $i M1 R --nc F_stat[$i,] = $test ~ $pvalue endloop print F_stat ###end### Thanks, Mihai -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20130709/c6c136c9/... ------------------------------ Message: 2 Date: Mon, 8 Jul 2013 21:31:05 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] Constant in log-likelihood and graph of two densities together To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.LFD.2.10.1307082117570.23324@myrtle> Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed On Mon, 8 Jul 2013, Alecos Papadopoulos wrote: > Good evening everybody. I am rather new to Gretl and my questions > are probably kindergarten-level, but I could not figure out the > answers myself or using Help. So here they are > > 1) I run maximum likelihood from the script window. I am trying > two different and non-nested stochastic specifications. I have to > compare and evaluate them by using the value of the maximized > log-likelihood. But since they are non-nested, their > log-likelihood functions are totally different. So, suddenly, the > constants of each log-likelihood, although they play no role in > the estimation of the parameters, influence the value of the > maximized logl - and they are different constants. > > If I don't include them in the logl function, then the values of > the maximized logl (and the AIC and BIC and HQ criteria) will be > misleading for comparison purposes of the two competing stochastic > specifications, and currently I am doing the corrections by hand > (which I can live with). But it would be nice not to have output > that needs such corrections. I tried to include them in the > specification of the logl after the "mle logl = " command. But > when I tried to include them as, say, "ln(4/sqrt(2/pi))" or > "ln(4/sqrt(2/%pi)) I get "syntax error on the command line". The recommended way of accessing pi = 3.14... in current gretl (version 1.9.12) is "$pi", though plain "pi" (deprecated since May 2012) will still work; "%pi" will definitely not work. The expression ln(4/sqrt(2/$pi)) is correctly evaluated as 1.612... in current gretl. > When I calculate them explicitly, say 0.45678 and enter this > constant instead, Gretl runs, but the estimation goes astray, and > produces different results than when the constant is not included. > I suspect that this may have something to do with the fact that I > do not specify analytical derivatives, but I really don't know. > What am I doing wrong? The issue of analytical versus numerical derivatives wouldn't seem to be relevant to the inclusion or non-inclusion of a constant term (which obviously doesn't have a derivative) in the log-likelihood. I suppose something else must be wrong here. I think you'll have to show us your full script to get useful help. > 2) Again for comparison purposes, I would want to have in one graph the > estimated densities of two series. But when I select two series the > "Variable" menu becomes disabled, while in the "View" menu there are > various graph options, but not the option to graph the estimated > densities of the two series together. Is there a way around this? This question has come up before. Please see http://lists.wfu.edu/pipermail/gretl-users/2013-April/008745.html Allin Cottrell ------------------------------ Message: 3 Date: Mon, 8 Jul 2013 21:59:16 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] retrieving F-stat and p-value from a VAR system To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.LFD.2.10.1307082142420.23324@myrtle> Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed On Tue, 9 Jul 2013, cociuba mihai wrote: > I'm testing Granger causality between inflation and inflation > uncertainty for 15 countries and I would like to retrieve the > result of the Wald test... What Wald test? (That is, for what null hypothesis?) > in a matrix, the script that I try to run gets stuck at the last > step. Any suggestion are welcome. [last step] > loop foreach i a b c d > var $i M1 R --nc > F_stat[$i,] = $test ~ $pvalue > endloop The "var" command in gretl does not supply a $test accessor. In fact no model estimation command in gretl does that: the label "test" is much too general, given that many sorts of tests might be contemplated after estimating a given model (either single-equation or multi-equation). Since a VAR is just a collection of equations related in a certain way (identical right-hand sides, specific relation between left-hand side variables and right-hand sides), estimated in practice via OLS, you can get whatever Wald statistics you want by estimating the equations singly via the "ols" command, and using either "omit" or "restrict" (which do produce $test and $pvalue). (I suppose we could generalize the current scalar $Fstat accessor for single equation models to a matrix for VARs, but that would require some decisions on which F-stats to include and in what configuration.) Allin Cottrell ------------------------------ Message: 4 Date: Mon, 8 Jul 2013 22:15:21 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] retrieving F-stat and p-value from a VAR system To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.LFD.2.10.1307082212280.23324@myrtle> Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed On Mon, 8 Jul 2013, Allin Cottrell wrote: > On Tue, 9 Jul 2013, cociuba mihai wrote: > >> I'm testing Granger causality between inflation and inflation uncertainty >> for 15 countries and I would like to retrieve the result of the Wald >> test... > > What Wald test? (That is, for what null hypothesis?) OK, in fact clear enough from context. Trivial example of what I described in my previous posting: <hansl> open data9-7 scalar p = 4 var p PRIME UNEMP list RHS = const PRIME(-1 to -p) UNEMP(-1 to -p) # first equation: does UNEMP Granger-cause PRIME? ols PRIME RHS --quiet omit UNEMP(-1 to -p) --quiet --test-only eval $test eval $pvalue # second equation: does PRIME Granger-cause UNEMP? ols UNEMP RHS --quiet omit PRIME(-1 to -p) --quiet --test-only eval $test eval $pvalue </hansl> Allin Cottrell ------------------------------ Message: 5 Date: Tue, 9 Jul 2013 13:15:43 +0200 From: Gian Lorenzo Spisso <glspisso(a)gmail.com&gt; Subject: [Gretl-users] Implement new criterion for var lag selection To: gretl-users(a)lists.wfu.edu Message-ID: <CAJ_wB9= gLShM2DdET7uk_f0CDBTBRgdcsqj_G_mvhkHE4jcE_w(a)mail.gmail.com&gt; Content-Type: text/plain; charset="iso-8859-1" Hi all, I would like to implement in GRETL the procedure for lag selection of a VAR as specified here: http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which essentialy replace BIC and HQC with a weighted average of the two. Is there any easy to install package that I could use? Otherwise could it be possible to simply reprogram AIC column to show this criterion instead? In case can anybody provide a little guidance for the process? I am not familiar with gretl programming. Thank you, -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20130709/f27dfb6a/... ------------------------------ Message: 6 Date: Tue, 9 Jul 2013 14:45:28 +0200 (CEST) From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; Subject: Re: [Gretl-users] Implement new criterion for var lag selection To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.DEB.2.10.1307091444170.13798(a)ec-4.econ.univpm.it&gt; Content-Type: text/plain; charset="iso-8859-1" On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: > Hi all, > I would like to implement in GRETL the procedure for lag selection of a VAR > as specified here: > http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which > essentialy replace BIC and HQC with a weighted average of the two. > > Is there any easy to install package that I could use? > Otherwise could it be possible to simply reprogram AIC column to show this > criterion instead? In case can anybody provide a little guidance for the > process? I am not familiar with gretl programming. I don't have a subscription to "Applied Economics Journal". Could you describe me the proposed method? ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Universit? Politecnica delle Marche (formerly known as Universit? di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- ------------------------------ Message: 7 Date: Tue, 9 Jul 2013 14:58:42 +0200 From: Gian Lorenzo Spisso <glspisso(a)gmail.com&gt; Subject: Re: [Gretl-users] Implement new criterion for var lag selection To: r.lucchetti(a)univpm.it, Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <CAJ_wB9ndVjdNygwUYYDQEc9Ad7=+ Px9q4wDW+orXLza6f28rjw(a)mail.gmail.com&gt; Content-Type: text/plain; charset="iso-8859-1" Dear Riccardo, I attach a screenshot of the relevant part. You can see the formulas for the two criterion, and the new criterion proposed by Hatemi which simply averages the two. He then goes on and uses a Montecarlo simulation to show that this mixed criterion as higher probability in picking the right lag. On Tue, Jul 9, 2013 at 2:45 PM, Riccardo (Jack) Lucchetti < r.lucchetti(a)univpm.it&gt; wrote: > On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: > > Hi all, >> I would like to implement in GRETL the procedure for lag selection of a >> VAR >> as specified here: >> http://www.tandfonline.com/**doi/pdf/10.1080/**1350485022000041050< http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050>which >> essentialy replace BIC and HQC with a weighted average of the two. >> >> Is there any easy to install package that I could use? >> Otherwise could it be possible to simply reprogram AIC column to show this >> criterion instead? In case can anybody provide a little guidance for the >> process? I am not familiar with gretl programming. >> > > I don't have a subscription to "Applied Economics Journal". Could you > describe me the proposed method? > > ------------------------------**------------------------- > Riccardo (Jack) Lucchetti > Dipartimento di Scienze Economiche e Sociali (DiSES) > > Universit? Politecnica delle Marche > (formerly known as Universit? di Ancona) > > r.lucchetti(a)univpm.it > http://www2.econ.univpm.it/**servizi/hpp/lucchetti< http://www2.econ.univpm.it/servizi/hpp/lucchetti> > ------------------------------**------------------------- > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- Gian Lorenzo Spisso *Phone*: 415-359-4330 *Skype*: glspisso -------------- next part -------------- An HTML attachment was scrubbed... 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