[Gretl-devel] remove unsignificant variables

[Ignacio Diaz-Emparanza]

I am trying to write a script that, based on a regression with a lot of 
variables and lags, drop unsignificant variables and leave only the 
significant regressors.

I am having problems to identify the variable to drop in each iteration 
because gretl sometimes detects "exact" collinearity (but not perfect 
collinearity) and removes one regressor, so that the regressors I write in 
the ols command are not the same as gretl uses in the estimation, so it makes 
difficult to associate the coefficients in $coeff with my list of regressors.

I suppose gretl detects "exact" collinearity when det(X'X)<epsilon being 
epsilon a very small number. And in general I think it is good that the 
program removes a variable and run the regression.

But I don't find a solution without asking Allin and Jack to change the ols 
source.

I think changing the ols source may be some solutions to resolve this problem. 
Gretl after the ols estimation could:
 1-  save the variable with highest t pvalue in a $ variable (for example its 
ID number in a scalar)
 2-  save a list with the regressors used in the estimation (or a row matrix 
with the ID numbers)

Do you see any other solution?



-- 
Ignacio Diaz-Emparanza  
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)                                        
UPV/EHU
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