9:50 a.m.
Hello,
I am new here.
My problem is following: I want to calculate entire profile likelihood
function (and then find maximum value) in order to find threshold estimate
and run TVECM model. Therefore I want to build script (with loop
programming) which will calculate just entire profile likelihood function
in Gretl. The other estimations I can perform myself.
Here is my request formulated below:
# Model: TVECM (Threshold Vector Error Correction Model)
# Name of my variables: dependent variable - Y (Price on market
1); independent variables - X (Price on market 2) and ECT (Error correction
term)
# My data sample runs from 2006:10 to 2014:08
# First, I need to generate variables "difference of Y", "difference of
X",
"Lagged value of ECT", "lagged value of diff_Y", and "lagged
value of
diff_X"
# "Lagged value of ECT" is my threshold variable - Threshold value must
come from it.
# My final target is to *calculate the entire profile likelihood function
of ols regression and save results in a separate file* (let's say "LF.gdt")
# Below is my guess how the process must be solved. Could you adjust it to
my data and help me to complete?
------------script----------------
loop i=2006:10..2014:08 --progressive --quiet
genr
ols
genr LF = $lnl
store "C:\.....\.....\......\LF.gdt" LF
endloop
Thank you!
Kind regards,
Miranda
10:06 a.m.
On Mon, 18 May 2015, Miranda Svanidze wrote:
Hello,
I am new here.
My problem is following: I want to calculate entire profile likelihood
function (and then find maximum value) in order to find threshold estimate
and run TVECM model. Therefore I want to build script (with loop
programming) which will calculate just entire profile likelihood function
in Gretl. The other estimations I can perform myself.
Here is my request formulated below:
# Model: TVECM (Threshold Vector Error Correction Model)
# Name of my variables: dependent variable - Y (Price on market
1); independent variables - X (Price on market 2) and ECT (Error correction
term)
# My data sample runs from 2006:10 to 2014:08
# First, I need to generate variables "difference of Y", "difference of
X",
"Lagged value of ECT", "lagged value of diff_Y", and "lagged
value of
diff_X"
# "Lagged value of ECT" is my threshold variable - Threshold value must
come from it.
# My final target is to *calculate the entire profile likelihood function
of ols regression and save results in a separate file* (let's say
"LF.gdt")
# Below is my guess how the process must be solved. Could you adjust it to
my data and help me to complete?
------------script----------------
loop i=2006:10..2014:08 --progressive --quiet
genr
ols
genr LF = $lnl
store "C:\.....\.....\......\LF.gdt" LF
endloop
Thank you!
Kind regards,
Miranda
I'm sorry, you'll have to be more explicit that this. Posting your
complete script would be much better; from what you posted I don't
understand what you're trying to do, let alone what the problem is.
-------------------------------------------------------
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
-------------------------------------------------------
11:18 a.m.
Thank you for your reply!
Indeed, my uploaded file, which you can't open. I just copy text from file
here that you can read:
I want to build script (with loop programming) which will calculate just
entire profile likelihood function in Gretl. The other estimations I can
perform myself.
Here is my request formulated below:
# Model: TVECM (Threshold Vector Error Correction Model)
# Name of my variables: dependent variable - Y (Price on market
1); independent variables - X (Price on market 2) and ECT (Error correction
term)
# My data sample runs from 2006:10 to 2014:08
# First, I need to generate variables "difference of Y", "difference of
X",
"Lagged value of ECT", "lagged value of diff_Y", and "lagged
value of
diff_X"
# "Lagged value of ECT" is my threshold variable - Threshold value must
come from it.
# My final target is to *calculate the entire profile likelihood function
of ols regression and save results in a separate file* (let's say "LF.gdt")
# Below is my guess how the process must be solved. Could you adjust it to
my data and help me to complete it?
------------script----------------
loop i=................. --progressive --quiet
genr ...........................
ols ...............................
genr LF = $lnl
store "C:\.....\.....\......\LF.gdt" LF
endloop
Best,
Miranda
On Mon, May 18, 2015 at 12:06 PM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
On Mon, 18 May 2015, Miranda Svanidze wrote:
Hello,
> I am new here.
> My problem is following: I want to calculate entire profile likelihood
> function (and then find maximum value) in order to find threshold estimate
> and run TVECM model. Therefore I want to build script (with loop
> programming) which will calculate just entire profile likelihood function
> in Gretl. The other estimations I can perform myself.
> Here is my request formulated below:
> # Model: TVECM (Threshold Vector Error Correction Model)
> # Name of my variables: dependent variable - Y (Price on market
> 1); independent variables - X (Price on market 2) and ECT (Error
> correction
> term)
> # My data sample runs from 2006:10 to 2014:08
> # First, I need to generate variables "difference of Y", "difference
of
> X",
> "Lagged value of ECT", "lagged value of diff_Y", and "lagged
value of
> diff_X"
> # "Lagged value of ECT" is my threshold variable - Threshold value must
> come from it.
> # My final target is to *calculate the entire profile likelihood function
> of ols regression and save results in a separate file* (let's say
> "LF.gdt")
> # Below is my guess how the process must be solved. Could you adjust it to
> my data and help me to complete?
> ------------script----------------
> loop i=2006:10..2014:08 --progressive --quiet
> genr
> ols
> genr LF = $lnl
> store "C:\.....\.....\......\LF.gdt" LF
> endloop
>
> Thank you!
> Kind regards,
> Miranda
>
I'm sorry, you'll have to be more explicit that this. Posting your
complete script would be much better; from what you posted I don't
understand what you're trying to do, let alone what the problem is.
-------------------------------------------------------
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
11:33 a.m.
OK, I see. I should explain more.
Actually, I sent you all script (or idea how I see it) to you. What I need
is to run OLS with Y being depended variable and ECT1, ECT2, X, diff_Y and
diff_X being independent variables. In my estimation ECT is threshold
variable. Each value from this time series is considered as threshold,
which splits ECT in two parts: ECT1 and ECT2. How optimal threshold is
chosen? for this, technically I must run my OLS regression as many times,
as many potential thresholds are there from ECT series. Optimal one is the
one, which coincides to the maximum value of Profile Likelihood function.
Doing so manually (splitting ECT for its every value and performing
corresponding OLS regression) is really hard and almost endless process. If
you will help me to build such script which will iterate process with any
possible threshold value (I mean, running OLS with different ECT1 and ECT2
and extracting Profile Likelihood estimates from every OLS regression)
would be very supportive to me. Could you help?
Please, let me know If I should clarify more.
Thanks in advance!
Best,
Miranda
On Mon, May 18, 2015 at 1:18 PM, Miranda Svanidze <
miranda.svanidze(a)gmail.com> wrote:
Thank you for your reply!
Indeed, my uploaded file, which you can't open. I just copy text from file
here that you can read:
I want to build script (with loop programming) which will calculate just
entire profile likelihood function in Gretl. The other estimations I can
perform myself.
Here is my request formulated below:
# Model: TVECM (Threshold Vector Error Correction Model)
# Name of my variables: dependent variable - Y (Price on market
1); independent variables - X (Price on market 2) and ECT (Error correction
term)
# My data sample runs from 2006:10 to 2014:08
# First, I need to generate variables "difference of Y", "difference of
X", "Lagged value of ECT", "lagged value of diff_Y", and
"lagged value of
diff_X"
# "Lagged value of ECT" is my threshold variable - Threshold value must
come from it.
# My final target is to *calculate the entire profile likelihood function
of ols regression and save results in a separate file* (let's say
"LF.gdt")
# Below is my guess how the process must be solved. Could you adjust it to
my data and help me to complete it?
------------script----------------
loop i=................. --progressive --quiet
genr ...........................
ols ...............................
genr LF = $lnl
store "C:\.....\.....\......\LF.gdt" LF
endloop
Best,
Miranda
On Mon, May 18, 2015 at 12:06 PM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
> On Mon, 18 May 2015, Miranda Svanidze wrote:
>
> Hello,
>> I am new here.
>> My problem is following: I want to calculate entire profile likelihood
>> function (and then find maximum value) in order to find threshold
>> estimate
>> and run TVECM model. Therefore I want to build script (with loop
>> programming) which will calculate just entire profile likelihood function
>> in Gretl. The other estimations I can perform myself.
>> Here is my request formulated below:
>> # Model: TVECM (Threshold Vector Error Correction Model)
>> # Name of my variables: dependent variable - Y (Price on market
>> 1); independent variables - X (Price on market 2) and ECT (Error
>> correction
>> term)
>> # My data sample runs from 2006:10 to 2014:08
>> # First, I need to generate variables "difference of Y",
"difference of
>> X",
>> "Lagged value of ECT", "lagged value of diff_Y", and
"lagged value of
>> diff_X"
>> # "Lagged value of ECT" is my threshold variable - Threshold value
must
>> come from it.
>> # My final target is to *calculate the entire profile likelihood function
>> of ols regression and save results in a separate file* (let's say
>> "LF.gdt")
>> # Below is my guess how the process must be solved. Could you adjust it
>> to
>> my data and help me to complete?
>> ------------script----------------
>> loop i=2006:10..2014:08 --progressive --quiet
>> genr
>> ols
>> genr LF = $lnl
>> store "C:\.....\.....\......\LF.gdt" LF
>> endloop
>>
>> Thank you!
>> Kind regards,
>> Miranda
>>
>
> I'm sorry, you'll have to be more explicit that this. Posting your
> complete script would be much better; from what you posted I don't
> understand what you're trying to do, let alone what the problem is.
>
>
> -------------------------------------------------------
> 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
>
12:48 p.m.
To clarify my problem written in the previous email, I am adding results
from Gretl. I run following script:
"loop i=1..94 --progressive --quiet
genr ECT1 = ECT*(time <= i)
genr ECT2 = ECT-ECT1
ols D_ARM ECT1 ECT2 D_FRN1 D_ARM1
genr LF = $lnl
store "C:\Users\Svanidze\Desktop\LF.gdt" LF
endloop"
I received following outcome:
? loop i=1..94 --progressive --quiet
genr ECT1 = ECT*(time <= i)
genr ECT2 = ECT-ECT1
ols D_ARM ECT1 ECT2 D_FRN1 D_ARM1
genr LF = $lnl
store "C:\Users\Svanidze\Desktop\LF.gdt" LF
endloop
*progressive loop: model must be of constant size*
> ols D_ARM ECT1 ECT2 D_FRN1 D_ARM1
It does not produce outcome. Something is wrong there. Could you suggest
what to do?
Best,
Miranda
On Mon, May 18, 2015 at 1:33 PM, Miranda Svanidze <
miranda.svanidze(a)gmail.com> wrote:
OK, I see. I should explain more.
Actually, I sent you all script (or idea how I see it) to you. What I need
is to run OLS with Y being depended variable and ECT1, ECT2, X, diff_Y and
diff_X being independent variables. In my estimation ECT is threshold
variable. Each value from this time series is considered as threshold,
which splits ECT in two parts: ECT1 and ECT2. How optimal threshold is
chosen? for this, technically I must run my OLS regression as many times,
as many potential thresholds are there from ECT series. Optimal one is the
one, which coincides to the maximum value of Profile Likelihood function.
Doing so manually (splitting ECT for its every value and performing
corresponding OLS regression) is really hard and almost endless process. If
you will help me to build such script which will iterate process with any
possible threshold value (I mean, running OLS with different ECT1 and ECT2
and extracting Profile Likelihood estimates from every OLS regression)
would be very supportive to me. Could you help?
Please, let me know If I should clarify more.
Thanks in advance!
Best,
Miranda
On Mon, May 18, 2015 at 1:18 PM, Miranda Svanidze <
miranda.svanidze(a)gmail.com> wrote:
> Thank you for your reply!
> Indeed, my uploaded file, which you can't open. I just copy text from
> file here that you can read:
>
> I want to build script (with loop programming) which will calculate just
> entire profile likelihood function in Gretl. The other estimations I can
> perform myself.
> Here is my request formulated below:
> # Model: TVECM (Threshold Vector Error Correction Model)
> # Name of my variables: dependent variable - Y (Price on market
> 1); independent variables - X (Price on market 2) and ECT (Error correction
> term)
> # My data sample runs from 2006:10 to 2014:08
> # First, I need to generate variables "difference of Y", "difference
of
> X", "Lagged value of ECT", "lagged value of diff_Y", and
"lagged value of
> diff_X"
> # "Lagged value of ECT" is my threshold variable - Threshold value must
> come from it.
> # My final target is to *calculate the entire profile likelihood
> function of ols regression and save results in a separate file* (let's
> say "LF.gdt")
> # Below is my guess how the process must be solved. Could you adjust it
> to my data and help me to complete it?
> ------------script----------------
> loop i=................. --progressive --quiet
> genr ...........................
> ols ...............................
> genr LF = $lnl
> store "C:\.....\.....\......\LF.gdt" LF
> endloop
>
> Best,
> Miranda
>
>
> On Mon, May 18, 2015 at 12:06 PM, Riccardo (Jack) Lucchetti <
> r.lucchetti(a)univpm.it> wrote:
>
>> On Mon, 18 May 2015, Miranda Svanidze wrote:
>>
>> Hello,
>>> I am new here.
>>> My problem is following: I want to calculate entire profile likelihood
>>> function (and then find maximum value) in order to find threshold
>>> estimate
>>> and run TVECM model. Therefore I want to build script (with loop
>>> programming) which will calculate just entire profile likelihood
>>> function
>>> in Gretl. The other estimations I can perform myself.
>>> Here is my request formulated below:
>>> # Model: TVECM (Threshold Vector Error Correction Model)
>>> # Name of my variables: dependent variable - Y (Price on market
>>> 1); independent variables - X (Price on market 2) and ECT (Error
>>> correction
>>> term)
>>> # My data sample runs from 2006:10 to 2014:08
>>> # First, I need to generate variables "difference of Y",
"difference of
>>> X",
>>> "Lagged value of ECT", "lagged value of diff_Y", and
"lagged value of
>>> diff_X"
>>> # "Lagged value of ECT" is my threshold variable - Threshold value
must
>>> come from it.
>>> # My final target is to *calculate the entire profile likelihood
>>> function
>>> of ols regression and save results in a separate file* (let's say
>>> "LF.gdt")
>>> # Below is my guess how the process must be solved. Could you adjust it
>>> to
>>> my data and help me to complete?
>>> ------------script----------------
>>> loop i=2006:10..2014:08 --progressive --quiet
>>> genr
>>> ols
>>> genr LF = $lnl
>>> store "C:\.....\.....\......\LF.gdt" LF
>>> endloop
>>>
>>> Thank you!
>>> Kind regards,
>>> Miranda
>>>
>>
>> I'm sorry, you'll have to be more explicit that this. Posting your
>> complete script would be much better; from what you posted I don't
>> understand what you're trying to do, let alone what the problem is.
>>
>>
>> -------------------------------------------------------
>> 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
>>
>
>
1:03 p.m.
On Mon, 18 May 2015, Miranda Svanidze wrote:
To clarify my problem written in the previous email, I am adding
results
from Gretl.
I dn't understand why you need the --progressive flag. Is the following
example of any help to you?
<hansl>
set echo off
set messages off
open AWM.gdt --quiet
series y = ln(YER)
series c = ln(PCR)
series z = y - c
diff y c
T = $nobs
series ll = NA
loop i=1..T --quiet
series zp = z * (time < i)
series zm = z - zp
ols d_c 0 d_y zp(-1) zm(-1) --quiet
ll[i] = $lnl
endloop
plot ll
options time-series with-lines
end plot --output=display
</hansl>
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
1:16 p.m.
Thanks!
Well I run script without "--Progressive" option. Unfortunately, it dropped
my second variable (ECT1) because it contains only 0-s. However, I need
both in the equation ECT1 and ECT2. Do you have any solution?
Here is the copy of results:
Current session: 2015-05-18 15:13
? T=$nobs
Replaced scalar T = 94
? loop i=1..T --quiet
genr ECT1 = ECT*(time <= i)
genr ECT2 = ECT-ECT1
ols D_ARM *ECT1 ECT2 *D_FRN1 D_ARM1
genr LF = $lnl
store "C:\Users\Svanidze\Desktop\LF.gdt" LF
endloop
Model 767: OLS, using observations 2006:12-2014:08 (T = 93)
Dependent variable: D_ARM
*Omitted because all values were zero: ECT1*
coefficient std. error t-ratio p-value
--------------------------------------------------------
ECT2 −0.281632 0.0562133 −5.010 2.70e-06 ***
D_FRN1 −0.0226867 0.103735 −0.2187 0.8274
D_ARM1 0.131557 0.0901396 1.459 0.1479
******************** I skip the rest
**********************************************
Best,
Miranda
On Mon, May 18, 2015 at 3:03 PM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
On Mon, 18 May 2015, Miranda Svanidze wrote:
To clarify my problem written in the previous email, I am adding results
> from Gretl.
>
I dn't understand why you need the --progressive flag. Is the following
example of any help to you?
<hansl>
set echo off
set messages off
open AWM.gdt --quiet
series y = ln(YER)
series c = ln(PCR)
series z = y - c
diff y c
T = $nobs
series ll = NA
loop i=1..T --quiet
series zp = z * (time < i)
series zm = z - zp
ols d_c 0 d_y zp(-1) zm(-1) --quiet
ll[i] = $lnl
endloop
plot ll
options time-series with-lines
end plot --output=display
</hansl>
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
1:31 p.m.
So, sorry for bothering you. Now my script works perfect! I am new user of
Gretl and did not saw that I should scroll script output to see all OLS
regressions. So, my task is accomplished! Thank you for your great help!
Kind regards,
Miranda
On Mon, May 18, 2015 at 3:16 PM, Miranda Svanidze <
miranda.svanidze(a)gmail.com> wrote:
Thanks!
Well I run script without "--Progressive" option. Unfortunately, it
dropped my second variable (ECT1) because it contains only 0-s. However, I
need both in the equation ECT1 and ECT2. Do you have any solution?
Here is the copy of results:
Current session: 2015-05-18 15:13
? T=$nobs
Replaced scalar T = 94
? loop i=1..T --quiet
> genr ECT1 = ECT*(time <= i)
> genr ECT2 = ECT-ECT1
> ols D_ARM *ECT1 ECT2 *D_FRN1 D_ARM1
> genr LF = $lnl
> store "C:\Users\Svanidze\Desktop\LF.gdt" LF
> endloop
Model 767: OLS, using observations 2006:12-2014:08 (T = 93)
Dependent variable: D_ARM
*Omitted because all values were zero: ECT1*
coefficient std. error t-ratio p-value
--------------------------------------------------------
ECT2 −0.281632 0.0562133 −5.010 2.70e-06 ***
D_FRN1 −0.0226867 0.103735 −0.2187 0.8274
D_ARM1 0.131557 0.0901396 1.459 0.1479
******************** I skip the rest
**********************************************
Best,
Miranda
On Mon, May 18, 2015 at 3:03 PM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
> On Mon, 18 May 2015, Miranda Svanidze wrote:
>
> To clarify my problem written in the previous email, I am adding results
>> from Gretl.
>>
>
> I dn't understand why you need the --progressive flag. Is the following
> example of any help to you?
>
> <hansl>
> set echo off
> set messages off
>
> open AWM.gdt --quiet
> series y = ln(YER)
> series c = ln(PCR)
> series z = y - c
> diff y c
>
> T = $nobs
> series ll = NA
>
> loop i=1..T --quiet
> series zp = z * (time < i)
> series zm = z - zp
> ols d_c 0 d_y zp(-1) zm(-1) --quiet
> ll[i] = $lnl
> endloop
>
> plot ll
> options time-series with-lines
> end plot --output=display
> </hansl>
>
>
> -------------------------------------------------------
> 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
> -------------------------------------------------------
>
3537
days inactive
3537
days old
7 comments
2 participants
participants (2)
-
Miranda Svanidze -
Riccardo (Jack) Lucchetti