1) the "restrict" command already handlòes nonlinear
restrictions, so I
don't quite understand the purpose of your function As it
happens, it's for my training in hansl
Dear Riccardo, Do you have any comments for ADF-GLS pre-package? I send a new variant with
better GUI Also, could you make working extractors $coeff, $sigma, and $df for gretl
"adf" command, or it would be better if I make duplicated version of lag length
selection for ERS' modified PT test? Oleh
--- Оригінальне повідомлення ---
Від кого: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it>
Дата: 14 квітня 2015, 09:43:51
On Tue, 14 Apr 2015, oleg_komashko(a)ukr.net wrote:
Thank you!
Here is the simple function to perform Wald test for nonlinear restrictions in an ols
model (the question is below)
# powers to pass to fdjac p(x) is x p(x,3) is x^3
function scalar p(scalar x, scalar p[1]) return x^p end function
function matrix fun4(strings fun, matrix rhs, matrix beta, matrix vcov, scalar s, scalar
df) b = beta coll = rows(b) r = nelem(fun) matrix matr = zeros(r,coll)
matrix matr2 = zeros(r,1) loop i=1..r --quiet fu = fun[i] vect =
fdjac(b,@fu) matr[i,] = vect matr2[i,] = @fu-rhs[i] endloop ret =
matr*vcov*transp(matr) reti = inv(ret) ff = transp(matr2)*reti*matr2/r pval =
1-cdf(F,r,df,ff) out = {ff,pval} colnames(out, "F p-value")
return out
end function
## examples of restrictions matrix rhs = {0,0,0} strings S = array(2)
S[1] = "p(b[2])+p(b[3])" S[2] = "p(b[2])+2*p(b[3])"
strings S1 = array(1)
S1[1] = "p(b[2])+p(b[3])"
open denmark.gdt
ols LRM const LRY IBO
eval fun4(S1,rhs,$coeff,$vcv,$sigma,$df)
eval fun4(S,rhs,$coeff,$vcv,$sigma.$df)
Is there any way to make $coeff,$vcv,$sigma,$df the defaults so that the call be
fun4(S1,rhs)?
Oleh,
not a direct answer to your question, but two remarks:
1) the "restrict" command already handlòes nonlinear restrictions, so I
don't quite understand the purpose of your function
2) when you include code, be sure to add linebreaks where appropriate,
otherwise it's a bit difficult reading them. I thought it was my mail
client, but in fact if you look at some of your messages through a
browser from the mailing list archive, you get the same effect. See for
example here:
http://lists.wfu.edu/pipermail/gretl-users/2015-April/010845.html
-------------------------------------------------------
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)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users