[Gretl-users] subsampling and continuously shrinking sample !

[Allin Cottrell]

On Tue, 22 Aug 2006, Arnaud Bervas wrote:

> Thank you Allin for your reply. As I understand, it's not 
> possible to force Gretl to keep the initial range of dates 
> once you remove some dates within this range (?).

Yes, you're right.  Though you could try substituting missing 
values for the unacceptable observations.  For example, if
negative values are not permissible:

genr newx = x + (x < 0) * NA

That would result in the "bad" observations being dropped
from the sample for estimation, without changing the dates.

> I stll have a problem with the sub-sampling function. When I 
> restrict a variable to positive values and run OLS, it turns 
> out that when I do this OLS estimation a second time, the 
> sample shrinks and the estimates change accordingly. I don't 
> understand why the restriction does not operate once for all ?

It should operate once for all.  I don't understand what you're 
seeing here.  I'd have to see it in the context of a script, or 
explicit instructions on how to replicate the issue in the gui 
program.  (One thing to note is that the sample actually used in 
estimating a model can differ from the "official" sample range, 
if there are missing values to be skipped, and redefining 
variables can change the pattern of missing values.)

Allin Cottrell