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

fdiiorio at unina.it fdiiorio at unina.it
Tue Jul 7 15:35:23 EDT 2015


yes thanks. mystery solved!
at pag. 34 there is the dof corrected in the rest of the paper no;  
confirmed by
author.
thanks!


Quoting Allin Cottrell <cottrell at wfu.edu>:

> On Mon, 6 Jul 2015, fdiiorio at unina.it wrote:
>
>> 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/)
>
> No, the OLS standard errors reported by Calzolari are in fact  
> df-adjusted. Such standard errors are always larger than the  
> corresponding asymptotic ones.
>
> Allin Cottrell
> _______________________________________________
> Gretl-devel mailing list
> Gretl-devel at lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-devel
>
>






************************************************************
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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