[Gretl-devel] Proposal for function package cleanup

Allin Cottrell cottrell at wfu.edu
Mon Jul 13 11:00:36 EDT 2015


On Mon, 13 Jul 2015, yinung at Gmail wrote (regarding the package 
"fgls", in response to a query from Sven):

> Dear Sven
>
> In the Help text, it says that "This function package is for the feasible
> GLS in Wooldridge's textbook."
> It means that this package is to replicate the result from the example of
> the 'deasible GLS' in Wooldridge's textbook.

I've taken a look at this, and the estimator offered by Yi-Nung's 
package is very close to gretl's "hsk" command (heteroskedasticity 
correction via automatically weighted least squares). The only 
difference is that in the auxiliary (variance) regression "hsk" 
includes squares as well as levels of the original regressors, while 
Wooldridge's variant includes only levels.

In CVS and snapshots I've added a --no-squares option to the "hsk" 
command: with this option you get exactly the Wooldridge estimator. 
The following script illustrates:

<hansl>
open http://ricardo.ecn.wfu.edu/pub/gretldata/smoke.gdt
list X = lincome lcigpric educ age agesq restaurn
ols cigs 0 X
# gretl's original hsk behaviour
hsk cigs 0 X
# the Wooldridge variant: see Example 8.7 in
# Introductory Econometrics 4e
hsk cigs 0 X --no-squares
</hansl>

Allin



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