[Gretl-devel] --no-fd-corr in system

fdiiorio at unina.it fdiiorio at unina.it
Mon Jul 6 09:26:01 EDT 2015


dear Gretl team,

I noticed some problem using --no-df-corr in system using gretl 10.10.1
(built date 2015-04-04)

Let the Klein1 model and consider the Consumption equation


the command

estimate "Kl1" method=ols

give the following results

Equation 1: OLS, using observations 1921-1941 (T = 21)
Dependent variable: C

              coefficient   std. error   t-ratio    p-value
   ---------------------------------------------------------
   const      16.2366       1.30270      12.46     5.62e-010 ***
   P           0.192934     0.0912102     2.115    0.0495    **
   P_1         0.0898849    0.0906479     0.9916   0.3353
   W           0.796219     0.0399439    19.93     3.16e-013 ***


but the std. error reported above refer to an estimation with NO DF correction
(see Calzolari, 2012, MPRA Paper No. 64415, pag.34,  
http://mpra.ub.uni-muenchen.de/64415/)

while
the command

estimate "Kl1" method=ols --no-df-corr

give

Equation system, Kl1
Estimator: Ordinary Least Squares

Equation 1: OLS, using observations 1921-1941 (T = 21)
Dependent variable: C

              coefficient   std. error   t-ratio    p-value
   ---------------------------------------------------------
   const      16.2366       1.17208      13.85     1.09e-010 ***
   P           0.192934     0.0820650     2.351    0.0310    **
   P_1         0.0898849    0.0815592     1.102    0.2858
   W           0.796219     0.0359390    22.15     5.59e-014 ***


it seems that the results are associated to the wrong option.

Please,  check also with the results from a
ols estimation just on the consumption  equation

thanks
Francesca







************************************************************
Francesca Di Iorio
Dipartimento di Scienze Politiche
Universita' di Napoli Federico II
via L. Rodino' 22
I-80138 Napoli
tel. 081-2538280
fax. 081-2537466
e-mail fdiiorio at unina.it

----
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DELL'UNIVERSITÀ DI NAPOLI
Codice Fiscale: 00876220633
www.unina.it/Vademecum5permille

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