11:18 p.m.
Hi Gretl-Users
Is the panel unit root test developed by Hashem Pesaran in 2012 "On the
Interpretation of Panel Unit Root Tests" is available in gretl. If yes, then how can
I find in gretl and how can I apply it.
Please reply to me with step by step procedure.Thanks Habib Nawaz Khan,PhD Scholar
(Statistics/Econometrics),UTP, Malaysia,Cell # 0061126434405
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Today's Topics:
1. Re: PDF of a multivariate normal (Summers, Peter)
2. Re: displayed Engle-Granger model missing terms (Sven Schreiber)
3. Re: PDF of a multivariate normal (Sven Schreiber)
4. Re: PDF of a multivariate normal (Allin Cottrell)
----------------------------------------------------------------------
Message: 1
Date: Wed, 17 Feb 2016 03:05:43 +0000
From: "Summers, Peter" <psummers(a)highpoint.edu>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] PDF of a multivariate normal
Message-ID: <E57CD365-FD65-4551-AE05-BD234E628968(a)highpoint.edu>
Content-Type: text/plain; charset="Windows-1252"
Clive,
Artur's version of gretl is newer than yours or mine (though I've since updated).
The integer requirements for seq() have been removed.
PS
Sent from my iPad
On Feb 16, 2016, at 9:33 PM, Clive Nicholas
<clivelists@googlemail.com<mailto:clivelists@googlemail.com>> wrote:
Thanks Peter, that sorted it. Do remember that this wasn't my code, so how Artur's
original code worked for him I've no clue.
C
On 16 February 2016 at 18:50, Summers, Peter
<psummers@highpoint.edu<mailto:psummers@highpoint.edu>> wrote:
Clive,
The arguments to seq() all have to be integers. Try replacing that line with ?matrix x =
seq(-30,32,2)./10?
PS
From: gretl-users-bounces@lists.wfu.edu<mailto:gretl-users-bounces@lists.wfu.edu>
[mailto:gretl-users-bounces@lists.wfu.edu<mailto:gretl-users-bounces@lists.wfu.edu>]
On Behalf Of Clive Nicholas
Sent: Tuesday, February 16, 2016 1:27 PM
To: r.lucchetti@univpm.it<mailto:r.lucchetti@univpm.it>; Gretl list
Subject: Re: [Gretl-users] PDF of a multivariate normal
Jack,
Artur's code chokes for me when I run your function code:
gretl version 2016a-git
Current session: 2016-02-16 18:17
Invalid argument
Error executing script: halting
matrix x = seq(-3,3.2,0.2)
I wonder why? My -gretl-'s fully
up to date!
C
On 16 February 2016 at 15:26, Riccardo (Jack) Lucchetti
<r.lucchetti@univpm.it<mailto:r.lucchetti@univpm.it>> wrote:
On Tue, 16 Feb 2016, Artur T. wrote:
Ok, I changed the definition of the constant k. However, there is still
some difference to the outcome using MATLAB...
Hehe. We're convergiung to the truth: here's the correct one --- I think!
<hansl>
function matrix mnormal_pdf(matrix x, matrix m, matrix Sigma)
# x should be n x k (n k-dimensional vectors)
# m should be a k-vector of means
# Sigma should be a kxk pd matrix
scalar k = cols(x)
scalar n = rows(x)
if k != rows(m)*cols(m)
return mshape(NA, n, 1)
endif
scalar dS = det(Sigma)
if dS <= 0
return mshape(NA, n, 1)
endif
matrix U = x .- vec(m)'
matrix U = U .* (U/Sigma)
scalar k = dS * (2*$pi)^k
return exp(-0.5*sumr(U)) / sqrt(k)
end function
</hansl>
Actually I was a little surprised about Jack's suggestion also with
respect to what it does. I thought a function is wanted that also does
the RNG inside.
No, it is really just about computing the pdf.
Generating a sample of n independent Gaussian pseurdo-rvs with mean m and covariance Sigma
is rather trivial, in fact:
<hansl>
n = 20000
m = {1, 2, 3}
Sigma = {4,1,-1;1,4,1;-1,1,4}
A = mnormal(n, 3) * cholesky(Sigma)' .+ m
eval meanc(A)
eval mcov(A)
</hansl>
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universit? Politecnica delle Marche
(formerly known as Universit? di Ancona)
r.lucchetti@univpm.it<mailto:r.lucchetti@univpm.it>
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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--
Clive Nicholas
"My colleagues in the social sciences talk a great deal about methodology. I prefer
to call it style." -- Freeman J. Dyson
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--
Clive Nicholas
"My colleagues in the social sciences talk a great deal about methodology. I prefer
to call it style." -- Freeman J. Dyson
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------------------------------
Message: 2
Date: Wed, 17 Feb 2016 10:11:56 +0100
From: Sven Schreiber <svetosch(a)gmx.net>
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] displayed Engle-Granger model missing terms
Message-ID: <56C4395C.2040901(a)gmx.net>
Content-Type: text/plain; charset=utf-8; format=flowed
Am 17.02.2016 um 03:21 schrieb Salman Khan:
Step 2 is where i have concerns since I was expecting a b0 term in
model: (1-L)y = (a-1)*y(-1) + ... + e I explicitly chose to include a
constant, therefore I was expecting something like: model: (1-L)y =
b0 + (a-1)*y(-1) + ... + e
Allin is quite right, there had better not be a constant in the final
step. If you were expecting it in there, then I recommend to refresh
your Engle-Granger memory. (Hint: We're talking about estimated OLS
residuals here.)
cheers,
sven
------------------------------
Message: 3
Date: Wed, 17 Feb 2016 10:15:39 +0100
From: Sven Schreiber <svetosch(a)gmx.net>
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] PDF of a multivariate normal
Message-ID: <56C43A3B.2020403(a)gmx.net>
Content-Type: text/plain; charset=windows-1252; format=flowed
Am 16.02.2016 um 22:18 schrieb Allin Cottrell:
On Tue, 16 Feb 2016, Clive Nicholas wrote:
> Actually, I'm on 2016a-git and I would very much appreciate it if we were
> told via the list when a new (mini-)version of -gretl- has been rolled
> out.
> I never hear anything about them.
That's what gretl-announce is for. See
http://lists.wfu.edu/mailman/listinfo/gretl-announce
Of course you're right in principle, but I tend to agree with Clive that
a copying the announcement on gretl-users wouldn't hurt. It seems to me
that gretl-announce is for those that don't want to receive any other news.
thanks,
sven
------------------------------
Message: 4
Date: Wed, 17 Feb 2016 08:27:57 -0500 (EST)
From: Allin Cottrell <cottrell(a)wfu.edu>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Subject: Re: [Gretl-users] PDF of a multivariate normal
Message-ID:
<alpine.LNX.2.20.3.1602170827010.20694(a)localhost.localdomain>
Content-Type: text/plain; charset=US-ASCII; format=flowed
On Wed, 17 Feb 2016, Sven Schreiber wrote:
Am 16.02.2016 um 22:18 schrieb Allin Cottrell:
> On Tue, 16 Feb 2016, Clive Nicholas wrote:
>
>> Actually, I'm on 2016a-git and I would very much appreciate it if we were
>> told via the list when a new (mini-)version of -gretl- has been rolled
>> out.
>> I never hear anything about them.
>
> That's what gretl-announce is for. See
> http://lists.wfu.edu/mailman/listinfo/gretl-announce
>
Of course you're right in principle, but I tend to agree with Clive that a
copying the announcement on gretl-users wouldn't hurt. It seems to me that
gretl-announce is for those that don't want to receive any other news.
Fair enough. We could send a short message with a link to the
ChangeLog to gretl-users.
Allin
------------------------------
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End of Gretl-users Digest, Vol 109, Issue 23
********************************************
12:48 p.m.
New subject: Gretl-users Digest, Vol 109, Issue 23
On Thu, 18 Feb 2016, Habib Nawaz wrote:
Is the panel unit root test developed by Hashem Pesaran in 2012
"On
the Interpretation of Panel Unit Root Tests" is available in gretl.
If yes, then how can I find in gretl and how can I apply it.
Pesaran (2012) doesn't actually develop a test; he's concerned with
the interpretation of such test results. But anyway, gretl implements
the Im, Pesaran and Shin (2003) panel unit-root test. You can find the
details by going to help for the "adf" command.
An example using artificial data:
<hansl>
nulldata 1000
# set as panel data
setobs 100 1:1 --stacked-time-series
# create stationary series with fixed effects
series y = $unit + normal()
adf 0 y
</hansl>
<output>
Dickey-Fuller test for y
test with constant
model: (1-L)y = b0 + (a-1)*y(-1) + e
H0: all groups have unit root
N,T = (10,99)
Im-Pesaran-Shin t-bar = -9.37096
10% 5% 1%
Critical values: -1.88 -1.97 -2.15
Choi meta-tests:
Inverse chi-square(20) = 351.928 [0.0000]
Inverse normal test = -17.2535 [0.0000]
Logit test: t(54) = -31.2629 [0.0000]
</output>
Allin Cottrell
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