[Gretl-users] subsampling and continuously shrinking sample!

[Riccardo Jack Lucchetti]

On Wed, August 23, 2006 08:14, Arnaud Bervas wrote:
> Thanks. Here is an example script: if I run it twice successively, the
> estimates change as well as the size of the sample.
> Your suggestion to introduce missing values seems to have stabilized things
> (the problem seems to have occured though, but only once in several tests.)

I think your problem is related to the fact that, when you're in
non-contiguous subsample mode, lags don't have an obvious temporal meaning
anymore. Suppose you have these data

time  x
   1  3
   2 -2
   3  4

if you restrict the sample by the rule x>0, and then do y=x-x(-1), you'll find
that the value of y for period 3 is 4-3=1, because the "-2" simply isn't there
anymore. Is this right? Is this wrong? Obviously, it's a convention; as such,
it can be useful in some circumstances and deadly in others. But I'd say: if
you want to compute differences, do "smpl full" first and ONLY AFTER do the
subsampling. In your case, the changing sample depends on the fact that you
re-generate the differences in subsample mode, which in turn leads to a
different sub-sample, and so on.


Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona