12:39 a.m.
Thanks a lot Sven and Allin!
That really helped.
I can see that Cholesky decomposition works perfectly in the Monte Carlo method for
simulating systems with multiple correlated variables. But I'm not quite sure WHY, so
if you have any readable references I would be more than happy to take a look at it. (By
the way, I couldn't find anything in the Gretl-manual about the operator *= that was
used in the script).
Best regards,
Lars
Lars Palsson Syll
Professor of Civics
Malmo University
Sweden
>> <gretl-users-request(a)lists.wfu.edu> 10-01-11 18:01
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Today's Topics:
1. monte carlo simulation ( Lars P?lsson-Syll )
2. Re: monte carlo simulation (Sven Schreiber)
3. RES: RES: Panel models tests (Bruno Thiago Tomio)
4. Re: RES: RES: Panel models tests (Sven Schreiber)
5. Re: monte carlo simulation (Allin Cottrell)
6. RES: RES: RES: Panel models tests (Bruno Thiago Tomio)
7. Re: RES: RES: Panel models tests (yinung at Gmail)
8. gretl 1.8.6 on ubuntu 8.04 (yinung at Gmail)
9. Re: gretl 1.8.6 on ubuntu 8.04 (Artur T.)
----------------------------------------------------------------------
Message: 1
Date: Mon, 11 Jan 2010 09:36:29 +0100
From: " Lars P?lsson-Syll " <Lars.Palsson-Syll(a)mah.se>
Subject: [Gretl-users] monte carlo simulation
To: <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4AF11D020000F00008CFC1(a)biggs.mah.se>
Content-Type: text/plain; charset=US-ASCII
Hi,
Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of
econometrics" (3rd ed, p 273)
I run in to problem when in my script trying to incorporate that the population
correlation between the x-values and
the error-values should be 0.6. Could anyone help me?
Best regards,
Lars
Lars Palsson Syll
Professor of Civics
Malmo University
Sweden
------------------------------
Message: 2
Date: Mon, 11 Jan 2010 10:40:21 +0100
From: Sven Schreiber <svetosch(a)gmx.net>
Subject: Re: [Gretl-users] monte carlo simulation
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4AF205.6060608(a)gmx.net>
Content-Type: text/plain; charset=ISO-8859-1
Lars P?lsson-Syll schrieb:
Hi,
Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles of
econometrics" (3rd ed, p 273)
I run in to problem when in my script trying to incorporate that the population
correlation between the x-values and
the error-values should be 0.6. Could anyone help me?
Best regards,
Lars
If your question is how to produce (pseudo-) random series with the
needed correlation structure, then create two independent series and
multiply that vector (actually 2-col data matrix) with an appropriate
matrix (cholesky factor of the wanted covariance matrix).
good luck,
sven
------------------------------
Message: 3
Date: Mon, 11 Jan 2010 12:06:16 -0200
From: "Bruno Thiago Tomio" <bttomio(a)al.furb.br>
Subject: [Gretl-users] RES: RES: Panel models tests
To: "'Gretl list'" <gretl-users(a)lists.wfu.edu>
Message-ID: <740635D656A14A37B9F1FEA1B250F4C2@bruno>
Content-Type: text/plain; charset="us-ascii"
Thank you very much, Sven. I get "Data error" when trying to run tbar =
meanc(tstats), following your instructions.
Cheers,
Bruno
-----Mensagem original-----
De: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber
Enviada em: sexta-feira, 8 de janeiro de 2010 21:24
Para: Gretl list
Assunto: Re: [Gretl-users] RES: Panel models tests
Well I don't have a complete solution for you, but AFAIR some of these tests
rely on average ADF test statistics. So here is an example script showing
how to calculate such averages across panel units:
open greene14_1.gdt # example of a panel dataset
# which variable?
series tested = C
lagorder = 0
scalar numofunits = max($unit)
matrix tstats = {}
loop for i=1..numofunits
smpl $unit=i --restrict
adf lagorder tested --c
matrix tstats = tstats | $test
smpl full
endloop
tbar = meanc(tstats)
print tbar
For averaging p-values instead just replace $test with $pvalue. After some
polishing (and generalization) all this stuff could be wrapped in function
packages, but currently I don't have time for that, sorry.
Anybody else?
cheers,
sven
Bruno Thiago Tomio schrieb:
Right... I'm aware of some limitations of these kind of tests.
Anyway,
tests like IPS, Maddala-Wu or Levin-Lin-Chou (2002) would be welcome.
I was hoping to find a R package for these tests, but no success. Last
but not least, thank you for answering, Sven.
Sincerely,
Bruno
-----Mensagem original-----
De: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber
Enviada em: quarta-feira, 6 de janeiro de 2010 13:57
Para: Gretl list
Assunto: Re: [Gretl-users] Panel models tests
Bruno Thiago Tomio schrieb:
> Hello,
>
> It's really lacking some tests when you estimate a panel model. Could
> it be added some panel unit root tests, for example, please?
>
In principle you're right, but I guess it's a barrel without bottom
(old German proverb). What test in particular would you be interested
in? BTW the earlier panel unit root tests have ridiculously strong
independence assumptions IMHO. Also this may be a good case for
contributed function packages (I'm not 100% sure if it's really that
convenient for panel data,
though.)
cheers,
sven
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------------------------------
Message: 4
Date: Mon, 11 Jan 2010 15:28:52 +0100
From: Sven Schreiber <svetosch(a)gmx.net>
Subject: Re: [Gretl-users] RES: RES: Panel models tests
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4B35A4.3030701(a)gmx.net>
Content-Type: text/plain; charset=ISO-8859-1
Bruno Thiago Tomio schrieb:
Thank you very much, Sven. I get "Data error" when trying
to run tbar =
meanc(tstats), following your instructions.
Hm, I'm guessing maybe some missings in your dataset?
Does the script run ok for you with the example dataset (shipped with
gretl)? If not, what gretl version are you using?
-sven
------------------------------
Message: 5
Date: Mon, 11 Jan 2010 09:55:06 -0500 (EST)
From: Allin Cottrell <cottrell(a)wfu.edu>
Subject: Re: [Gretl-users] monte carlo simulation
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <Pine.A41.4.58.1001110935480.2478570(a)f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=iso-8859-1
On Mon, 11 Jan 2010, Sven Schreiber wrote:
Lars P?lsson-Syll schrieb:
> Hi,
> Trying to replicate a Monte Carlo simulation in Hill/Griffiths/LIm "Principles
of econometrics" (3rd ed, p 273)
> I run in to problem when in my script trying to incorporate that the population
correlation between the x-values and
> the error-values should be 0.6. Could anyone help me?
> Best regards,
> Lars
If your question is how to produce (pseudo-) random series with the
needed correlation structure, then create two independent series and
multiply that vector (actually 2-col data matrix) with an appropriate
matrix (cholesky factor of the wanted covariance matrix).
An example:
<!-- pt>
scalar N = 100000
nulldata N --preserve
scalar r = 0.6
matrix X = mnormal(N, 2)
matrix V = {1, r; r, 1}
matrix C = cholesky(V)
X *= C' # note: use the transpose
series x1 = X[,1]
series x2 = X[,2]
r = corr(x1, x2)
</scr -->
Allin Cottrell
------------------------------
Message: 6
Date: Mon, 11 Jan 2010 14:19:24 -0200
From: "Bruno Thiago Tomio" <bttomio(a)al.furb.br>
Subject: [Gretl-users] RES: RES: RES: Panel models tests
To: "'Gretl list'" <gretl-users(a)lists.wfu.edu>
Message-ID: <1C39598AE9E949A79C8FC6D3075B1B8B@bruno>
Content-Type: text/plain; charset="us-ascii"
Using greene14_1.gdt, the script output is:
gretl version 1.8.6
Current session: 2010-01-11 14:17
? scalar numofunits = max($unit)
Generated scalar numofunits = 6
? matrix tstats = {}
Generated matrix tstats
? loop for i=1..numofunits
smpl $unit=i --restrict
adf lagorder tested --c
matrix tstats = tstats | $test
smpl full
endloop
loop: i = 1
? smpl $unit=i --restrict
Full data set: 90 observations
Current sample: 15 observations
adf: expected an integer order
> adf lagorder tested --c
-----Mensagem original-----
De: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber
Enviada em: segunda-feira, 11 de janeiro de 2010 12:29
Para: Gretl list
Assunto: Re: [Gretl-users] RES: RES: Panel models tests
Bruno Thiago Tomio schrieb:
Thank you very much, Sven. I get "Data error" when trying
to run tbar
= meanc(tstats), following your instructions.
Hm, I'm guessing maybe some missings in your dataset?
Does the script run ok for you with the example dataset (shipped with
gretl)? If not, what gretl version are you using?
-sven
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------------------------------
Message: 7
Date: Tue, 12 Jan 2010 00:40:37 +0800
From: yinung at Gmail <yinung.cycu(a)gmail.com>
Subject: Re: [Gretl-users] RES: RES: Panel models tests
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID:
<8fcc70371001110840r57eb3e02l9af0a832759b01aa(a)mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1
sven
I run your script on gretl 1.8.6 (under winXP) and it works great.
Yi-Nung Yang
2010/1/11 Sven Schreiber <svetosch(a)gmx.net>:
Bruno Thiago Tomio schrieb:
> Thank you very much, Sven. I get "Data error" when trying to run tbar =
> meanc(tstats), following your instructions.
>
Hm, I'm guessing maybe some missings in your dataset?
Does the script run ok for you with the example dataset (shipped with
gretl)? If not, what gretl version are you using?
-sven
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Gretl-users(a)lists.wfu.edu
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------------------------------
Message: 8
Date: Tue, 12 Jan 2010 00:43:45 +0800
From: yinung at Gmail <yinung.cycu(a)gmail.com>
Subject: [Gretl-users] gretl 1.8.6 on ubuntu 8.04
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID:
<8fcc70371001110843l468d000ev25efba868bfb75cd(a)mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1
Dear all
Does anyone successfully install (or compile) gretl 1.8.6 on ubuntu
8.04? I had a hard time to do that. If somebody does, would you please
instruct me how to do that?
Thanks
Yi-Nung Yang
------------------------------
Message: 9
Date: Mon, 11 Jan 2010 16:51:25 +0000
From: "Artur T." <artur.tarassow(a)googlemail.com>
Subject: Re: [Gretl-users] gretl 1.8.6 on ubuntu 8.04
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <4B4B570D.7040509(a)googlemail.com>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed
yinung at Gmail schrieb:
Dear all
Does anyone successfully install (or compile) gretl 1.8.6 on ubuntu
8.04? I had a hard time to do that. If somebody does, would you please
instruct me how to do that?
Thanks
Yi-Nung Yang
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
can you give us the ouput of your compilation attempt?
usually the problem lies in some missing packages.
artur
------------------------------
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End of Gretl-users Digest, Vol 36, Issue 13
*******************************************
1:43 a.m.
New subject: Monte Carlo simulation with correlated variables
On Tue, 12 Jan 2010, Lars Pålsson-Syll wrote:
I can see that Cholesky decomposition works perfectly in the
Monte Carlo method for simulating systems with multiple
correlated variables. But I'm not quite sure WHY, so if you have
any readable references I would be more than happy to take a
look at it.
There may be better discussions but this one seems quite clear:
http://comisef.wikidot.com/tutorial:correlation
(By the way, I couldn't find anything in the Gretl-manual about
the operator *= that was used in the script).
We support the "@=" shorthand form for all the common operators.
I suppose it should be in the manual if it's not there.
Allin
8:14 a.m.
New subject: Monte Carlo simulation with correlated variables
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