________________________________ De: &quot;gretl-users-request(a)lists.wfu.edu&quot; <gretl-users-request(a)lists.wfu.edu&gt; Para: gretl-users(a)lists.wfu.edu Enviado: jueves, 28 de abril, 2011 11:00:03 Asunto: Gretl-users Digest, Vol 51, Issue 31 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. Re: GRETL versus Stata: Time Series (Thomas Volscho)   2. Re: GRETL versus Stata: Time Series (Summers, Peter)   3. Re: GRETL versus Stata: Time Series (Charles Koss)   4. Re: GRETL versus Stata: Time Series (Riccardo (Jack) Lucchetti) ---------------------------------------------------------------------- Message: 1 Date: Wed, 27 Apr 2011 18:07:17 +0000 From: Thomas Volscho <Thomas.Volscho(a)csi.cuny.edu&gt; Subject: Re: [Gretl-users] GRETL versus Stata: Time Series To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID:     <3BEE8F6ED3EF914199132C05FFBFAAF535358D(a)MBOX1.FLAS.CSI.CUNY.EDU&gt; Content-Type: text/plain; charset="us-ascii" That sounds like a good assessment. Does anyone have any plans to (or has anyone) implemented the Sims-Zha model (their Bayesian approach to VAR?) Thomas W. Volscho Assistant Professor of Sociology Department of Sociology, Anthropology, and Social Work City University of New York-College of Staten Island 2800 Victory Blvd., Bldg. 4S, Room 210 Staten Island, NY 10314 phone: 718-982-3781 email: thomas.volscho(a)csi.cuny.edu web: http://scholar.library.csi.cuny.edu/~volschot -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Charles Koss Sent: Tuesday, April 26, 2011 10:53 AM To: Gretl list Subject: [Gretl-users] GRETL versus Stata: Time Series I have used Stata and GRETL for univariate and multivariate time series analyses. And today decided to share my opinion with the community. I have concluded that GRETL is a reliable software for time series analyses while Stata capabilities are still in development. An example, Stata can estimate Vector Error Correction Models, however, it can not provide estimates of the standard errors for the IRF's. Therefore, I can not recommend Stata fot this type of analysis whereas the opposite is true for GRETL. In Stata, some time series estimators are written by users and then down the road, the company incorporates them in the core software. An example, rolling command for rolling regression. Other examples of this practice, cusum and prais commands. So, I would like to know some papers that compare the time series capabilities of Stata and GRETL in order to have a better understanding of the two softwares. Any help is appreciated. Thank you, Charles -- Charles Koss http://charlesonnet.blogspot.com _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ________________________________ Think green before you print this email. ------------------------------ Message: 2 Date: Wed, 27 Apr 2011 13:34:09 -0500 From: "Summers, Peter" <peter.summers(a)ttu.edu&gt; Subject: Re: [Gretl-users] GRETL versus Stata: Time Series To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID:     <8885DA157278484489B1EBC8B8C043E3010AADAFA79C(a)COTTUS.ttu.edu&gt; Content-Type: text/plain; charset="us-ascii" FWIW, I've toyed with the idea of translating some of my Bayesian (VAR & other) code into gretl, but haven't for a couple reasons: 1) I haven't had the time, and 2) a lot of this (including Sims-Zha) is available in R and therefore accessible via gretl. So this is potentially re-inventing the wheel. It does seem, though, that it would be fairly easy to implement some basic BVAR functionality in gretl, and I'd be willing to look more closely at that if there's demand (not before this summer though). PS -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Thomas Volscho Sent: Wednesday, April 27, 2011 1:07 PM To: Gretl list Subject: Re: [Gretl-users] GRETL versus Stata: Time Series That sounds like a good assessment. Does anyone have any plans to (or has anyone) implemented the Sims-Zha model (their Bayesian approach to VAR?) Thomas W. Volscho Assistant Professor of Sociology Department of Sociology, Anthropology, and Social Work City University of New York-College of Staten Island 2800 Victory Blvd., Bldg. 4S, Room 210 Staten Island, NY 10314 phone: 718-982-3781 email: thomas.volscho(a)csi.cuny.edu web: http://scholar.library.csi.cuny.edu/~volschot -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Charles Koss Sent: Tuesday, April 26, 2011 10:53 AM To: Gretl list Subject: [Gretl-users] GRETL versus Stata: Time Series I have used Stata and GRETL for univariate and multivariate time series analyses. And today decided to share my opinion with the community. I have concluded that GRETL is a reliable software for time series analyses while Stata capabilities are still in development. An example, Stata can estimate Vector Error Correction Models, however, it can not provide estimates of the standard errors for the IRF's. Therefore, I can not recommend Stata fot this type of analysis whereas the opposite is true for GRETL. In Stata, some time series estimators are written by users and then down the road, the company incorporates them in the core software. An example, rolling command for rolling regression. Other examples of this practice, cusum and prais commands. So, I would like to know some papers that compare the time series capabilities of Stata and GRETL in order to have a better understanding of the two softwares. Any help is appreciated. Thank you, Charles -- Charles Koss http://charlesonnet.blogspot.com _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ________________________________ Think green before you print this email. _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ------------------------------ Message: 3 Date: Wed, 27 Apr 2011 13:43:00 -0500 From: Charles Koss <hqtiger(a)gmail.com&gt; Subject: Re: [Gretl-users] GRETL versus Stata: Time Series To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <BANLkTikz5jsD0NHAWVdkaxT_nbpxCYKK8w(a)mail.gmail.com&gt; Content-Type: text/plain; charset=ISO-8859-1 The last post in this thread generated some questions: What incentives could be created for individuals that cooperate with the development of GRETL? How to align those incentives to promotion (tenure) and salaries of those individuals that cooperate in this open source community? Charles On Wed, Apr 27, 2011 at 1:34 PM, Summers, Peter <peter.summers(a)ttu.edu&gt; wrote: > FWIW, I've toyed with the idea of translating some of my Bayesian (VAR & other) code into gretl, but haven't for a couple reasons: 1) I haven't had the time, and 2) a lot of this (including Sims-Zha) is available in R and therefore accessible via gretl. So this is potentially re-inventing the wheel. > > It does seem, though, that it would be fairly easy to implement some basic BVAR functionality in gretl, and I'd be willing to look more closely at that if there's demand (not before this summer though). > > PS > > -----Original Message----- > From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Thomas Volscho > Sent: Wednesday, April 27, 2011 1:07 PM > To: Gretl list > Subject: Re: [Gretl-users] GRETL versus Stata: Time Series > > That sounds like a good assessment. > > Does anyone have any plans to (or has anyone) implemented the Sims-Zha model (their Bayesian approach to VAR?) > > Thomas W. Volscho > Assistant Professor of Sociology > Department of Sociology, Anthropology, and Social Work > City University of New York-College of Staten Island > 2800 Victory Blvd., Bldg. 4S, Room 210 > Staten Island, NY 10314 > > phone: 718-982-3781 > email: thomas.volscho(a)csi.cuny.edu > web: http://scholar.library.csi.cuny.edu/~volschot > > -----Original Message----- > From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Charles Koss > Sent: Tuesday, April 26, 2011 10:53 AM > To: Gretl list > Subject: [Gretl-users] GRETL versus Stata: Time Series > > I have used Stata and GRETL for univariate and multivariate time > series analyses. And today decided to share my opinion with the > community. I have concluded that GRETL is a reliable software for time > series analyses while Stata capabilities are still in development. An > example, Stata can estimate Vector Error Correction Models, however, > it can not provide estimates of the standard errors for the IRF's. > Therefore, I can not recommend Stata fot this type of analysis whereas > the opposite is true for GRETL. > > In Stata, some time series estimators are written by users and then > down the road, the company incorporates them in the core software. An > example, rolling command for rolling regression. Other examples of > this practice, cusum and prais commands. > > So, I would like to know some papers that compare the time series > capabilities of Stata and GRETL in order to have a better > understanding of the two softwares. Any help is appreciated. > > Thank you, > > Charles > > > -- > Charles Koss > http://charlesonnet.blogspot.com > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > ________________________________ > > Think green before you print this email. > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > ------------------------------ Message: 4 Date: Thu, 28 Apr 2011 12:32:50 +0200 (CEST) From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; Subject: Re: [Gretl-users] GRETL versus Stata: Time Series To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.DEB.2.02.1104281212070.26778(a)ec-4.econ.univpm.it&gt; Content-Type: text/plain; charset="iso-8859-15" On Tue, 26 Apr 2011, Charles Koss wrote: > So, I would like to know some papers that compare the time series > capabilities of Stata and GRETL in order to have a better > understanding of the two softwares. Any help is appreciated. A special issue of the Journal of Statistical Software is in preparation, in which a number of statistical packages (including stata and gretl) are compared with respect to their implementation of linear state-space models, Kalman filtering etc. On Wed, 27 Apr 2011, Thomas Volscho wrote: > Does anyone have any plans to (or has anyone) implemented the Sims-Zha > model (their Bayesian approach to VAR?) Not exactly the same thing, but I have a semi-finished product implementing SVARs (but all inference is frequentist, nothing Bayesian). A few people who had expressed interest received some early versions. I plan to turn it into a proper function package when I have the time. On Wed, 27 Apr 2011, Summers, Peter wrote: > FWIW, I've toyed with the idea of translating some of my Bayesian (VAR & > other) code into gretl, but haven't for a couple reasons: 1) I haven't > had the time, and 2) a lot of this (including Sims-Zha) is available in > R and therefore accessible via gretl. So this is potentially > re-inventing the wheel. It does seem, though, that it would be fairly > easy to implement some basic BVAR functionality in gretl, and I'd be > willing to look more closely at that if there's demand (not before this > summer though). See above. If you're interested in my SVAR package, I can send it to you. Actually, it would be nice to co-operate on this. On the subject of re-inventing the wheel: sure, no-one needs a bazillion buggy implementations of the same functionality, although you can't stop people from writing their own mp3 player just for fun. But when it comes to scientific software, having multiple _free_ implementations of a procedure is, in my view, a good thing. We all know how buggy software can be, and being able to compare results from independent implementations is tremendously useful, in my view, both to the practioner and the coder (who often coincide). Moreover, I don't mean to diss the R community, but often R packages are of a much worse quality than core R (IMO outstanding); so, the mere existence of an R package that claims to do something does not by itself guarantee that it works properly. On Wed, 27 Apr 2011, Charles Koss wrote: > The last post in this thread generated some questions: > > What incentives could be created for individuals that cooperate with > the development of GRETL? > > How to align those incentives to promotion (tenure) and salaries of > those individuals that cooperate in this open source community? Well, speaking for myself, my primary driving factor was fun. I've been helping Allin for a few years now and it's been a great gig. Of course, you also get added benefits, but in my case it was primarily for fun and the satisfaction you get out of doing something that other people find useful (as opposed to publishing, on a reputable journal, a clever paper that nobody is ever going to read, let alone find useful for anything). However, in the future we plan to shift gretl's development model more and more towards the implementation of new features through function packages and add-ons, written in gretl's own scripting language rather than in C, a bit like R and Stata do. If this development model matures, package writers who do something interesting and non trivial may have a good publishing opportunity on specilised journals like the Journal of Statistical Software, Computational Economics, etc. Riccardo (Jack) Lucchetti Dipartimento di Economia Universit? Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 51, Issue 31 *******************************************