4:47 p.m.
Hi everone.. I am recently trying to use and learn GRETL..I need help..when
i try to confront the sign of the return of the time series of index
FTSEMIB with the sign of the time series of the returns of every of the of
every of its 40 elementary members. In order to count how many times there
is an agreement between the sign of each return and that one of index
FTSEMIB.
I wanted to resolve the problem using the function SIGN but such function
lacks in the directory of Gretl.
I will be very pleased to have some suggestion to this issue.
Many thanks in advance
Giorgio Gozzi
Prof. Giorgio Gozzi
Professor of Economic Statistics
Department of Economics
Via J.F. Kennedy, 6
University of Parma
Italy
ISI Member
Phone: +390521032418
Fax: +390521032375
http://economia.unipr.it/DOCENTI/
5:08 p.m.
Giorgio Gozzi schrieb:
Hi everone.. I am recently trying to use and learn GRETL..I need
help..when i try to confront the sign of the return of the time series
of index FTSEMIB with the sign of the time series of the returns of
every of the of every of its 40 elementary members. In order to count
how many times there is an agreement between the sign of each return and
that one of index FTSEMIB.
I wanted to resolve the problem using the function SIGN but such
function lacks in the directory of Gretl.
I will be very pleased to have some suggestion to this issue.
Hi,
series myproduct = series1 * series2
series nonnegprod = (myproduct >= 0)
should work I hope. (I.e., a boolean condition in parentheses should
produce a dummy series indicating where the condition is true.)
hth,
sven
5:20 p.m.
On Thu, 1 Apr 2010, Giorgio Gozzi wrote:
Hi everone.. I am recently trying to use and learn GRETL..I need help..when i try to
confront the sign of the return of the time series of index FTSEMIB with the sign of the
time series of the returns of every of the of every of its 40 elementary members. In
order to count how many times there is an agreement between the sign of each return and
that one of index FTSEMIB.
I wanted to resolve the problem using the function SIGN but such function lacks in the
directory of Gretl.
I will be very pleased to have some suggestion to this issue.
How about the following?
<script>
series agree = (ret * FTSEMIB) > 0
</script>
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
8:06 p.m.
On Thu, 1 Apr 2010, Riccardo (Jack) Lucchetti wrote:
On Thu, 1 Apr 2010, Giorgio Gozzi wrote:
>
> Hi everone.. I am recently trying to use and learn GRETL..I need help..when i try�
to confront the sign of the return of the time series of index FTSEMIB with the sign of
the
> time series of the returns of every of the of every of its 40 elementary members. In
order to count how many times there is an agreement between the sign of each return and
> that one of index FTSEMIB.
>
> I wanted to resolve the problem using the function SIGN� but such function lacks in
the directory of Gretl.
>
> I will be very pleased to have some suggestion to this issue.
How about the following?
<script>
series agree = (ret * FTSEMIB) > 0
</script>
That's nice. The following may be overkill, but it handles a list
of series of arbitrary length (as in Giorgio's 40 components of
an index).
function series all_signs_same (series y, list L)
series ret = 1
scalar n = $nobs
loop t=1..n
loop foreach i L
prod = y[t] * L.$i[t]
if (missing(prod))
ret[t] = NA
break
elif prod < 0
ret[t] = 0
break
endif
endloop
endloop
return ret
end function
illustrative use:
open data9-7
series y = diff(QNC)
list L = 2 3 4
L = diff(L)
series same = all_signs_same(y, L)
printf "proportion of obs all same sign = %g\n", mean(same)
print y d_* same -o
Allin Cottrell
7:02 a.m.
New subject: R: GRETL problems about sign comparison
Thank so much Allin. I have tried your script and works perfectly.
Giorgio
-----Messaggio originale-----
Da: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Per conto
di Allin Cottrell
Inviato: giovedì 1 aprile 2010 22.06
A: r.lucchetti(a)univpm.it; Gretl list
Oggetto: Re: [Gretl-users] GRETL problems about sign comparison
On Thu, 1 Apr 2010, Riccardo (Jack) Lucchetti wrote:
On Thu, 1 Apr 2010, Giorgio Gozzi wrote:
>
> Hi everone.. I am recently trying to use and learn GRETL..I need
> help..when i try to confront the sign of the return of the time
> series of index FTSEMIB with the sign of the time series of the returns of every of
the of every of its 40 elementary members. In order to count how many times there is an
agreement between the sign of each return and that one of index FTSEMIB.
>
> I wanted to resolve the problem using the function SIGN but such function lacks in
the directory of Gretl.
>
> I will be very pleased to have some suggestion to this issue.
How about the following?
<script>
series agree = (ret * FTSEMIB) > 0
</script>
That's nice. The following may be overkill, but it handles a list of series of
arbitrary length (as in Giorgio's 40 components of an index).
function series all_signs_same (series y, list L)
series ret = 1
scalar n = $nobs
loop t=1..n
loop foreach i L
prod = y[t] * L.$i[t]
if (missing(prod))
ret[t] = NA
break
elif prod < 0
ret[t] = 0
break
endif
endloop
endloop
return ret
end function
illustrative use:
open data9-7
series y = diff(QNC)
list L = 2 3 4
L = diff(L)
series same = all_signs_same(y, L)
printf "proportion of obs all same sign = %g\n", mean(same) print y d_* same -o
Allin Cottrell
5383
days inactive
5384
days old
4 comments
4 participants
participants (4)
-
Allin Cottrell -
Giorgio Gozzi -
Riccardo (Jack) Lucchetti -
Sven Schreiber