[Gretl-users] Sv: Gretl-users Digest, Vol 29, Issue 4

Lars Pålsson-Syll Lars.Palsson-Syll at mah.se
Mon Jun 15 18:34:35 EDT 2009


Re: xtab --matrix
Thanks a lot Allin for adding this handy function! 
Best regards,
Lars Palsson Syll

Lars Pålsson Syll
Professor of Civics
Malmö University
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Today's Topics:

   1. Re: Sv: Gretl-users Digest, Vol 26, Issue 5 (Allin Cottrell)
   2. Heteroskedasticty.. (bulent.miran at ege.edu.tr)
   3. Re: Sv: Gretl-users Digest, Vol 26, Issue 5 (Allin Cottrell)
   4. gretl dropping variables  (Allin Cottrell)
   5. Re: autoreg formula and bessel function
      (Riccardo (Jack) Lucchetti)
   6. Re: gretl dropping variables  (Riccardo (Jack) Lucchetti)
   7. Re: gretl dropping variables  (Allin Cottrell)
   8. A time series question (Henrique)


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Message: 1
Date: Sun, 14 Jun 2009 13:03:08 -0400 (EDT)
From: Allin Cottrell <cottrell at wfu.edu>
Subject: Re: [Gretl-users] Sv: Gretl-users Digest, Vol 26, Issue 5
To: Gretl list <gretl-users at lists.wfu.edu>
Message-ID: <Pine.A41.4.58.0906141301320.696684 at f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=US-ASCII

On Sun, 14 Jun 2009 bulent.miran at ege.edu.tr wrote:

> I checked out the older versions and saw it begins with
heteroscedasticity
> corrected not WLS.

Ah, that's just a matter of different labeling.  The
"hereroskedasticity corrected" model is in fact just WLS, with the
weights based on the estimated error variance.

Allin Cottrell


------------------------------

Message: 2
Date: Sun, 14 Jun 2009 20:13:43 +0300 (EEST)
From: bulent.miran at ege.edu.tr
Subject: [Gretl-users] Heteroskedasticty..
To: "Gretl list" <gretl-users at lists.wfu.edu>
Message-ID: <4562.88.245.228.68.1244999623.squirrel at posta.ege.edu.tr>
Content-Type: text/plain; charset="iso-8859-9"



Yes.. I also guessed so. However for beginners it may be a confusion. I
wonder if it is possible to label it with a little more explanation for
preventing confusions?

B Miran


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Message: 3
Date: Sun, 14 Jun 2009 13:34:52 -0400 (EDT)
From: Allin Cottrell <cottrell at wfu.edu>
Subject: Re: [Gretl-users] Sv: Gretl-users Digest, Vol 26, Issue 5
To: Gretl list <gretl-users at lists.wfu.edu>
Message-ID: <Pine.A41.4.58.0906141330270.696684 at f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=UTF-8

On Sun, 14 Jun 2009, Allin Cottrell wrote:

> On Sat, 6 Jun 2009, Lars Pålsson-Syll wrote:
>
> > Is there any possibility of performing a cross-tabulation in
> > gretl when you only have aggregated frequencies (I'm thinking of
> > something analogous to Stata's "tabi" command )?
>
> Not at present, but that would not be difficult to add.

It's now added in CVS/snapshot.  Example:

matrix M = {30, 18, 38 ; 13, 7, 22 }
xtab --matrix=M

You can add the --row and/or --column flags to have the values
displayed as percentages.

Allin.




------------------------------

Message: 4
Date: Sun, 14 Jun 2009 15:51:47 -0400 (EDT)
From: Allin Cottrell <cottrell at wfu.edu>
Subject: [Gretl-users] gretl dropping variables 
To: Gretl users <gretl-users at lists.wfu.edu>
Message-ID: <Pine.A41.4.58.0906141544570.823494 at f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=US-ASCII

A further response to Nicolai Striewe's question in
http://lists.wfu.edu/pipermail/gretl-users/2009-May/003346.html :

There are three circumstances in which gretl deliberately drops
regressors from a specification given by the user:

1. (all models) the variable is all zeros
2. (all models) the variable is exactly collinear with
   other included regressors
3. (panel data, fixed effects estimator) the variable
   is time-invariant

If a regressor is dropped when none of these conditions is
satisfied, that's a bug (unless I'm forgetting any other
legitimate conditions, though I don't think so).

So far as I know, we don't have any evidence of a bug of this sort
to date.

Allin Cottrell


------------------------------

Message: 5
Date: Sun, 14 Jun 2009 23:23:19 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <r.lucchetti at univpm.it>
Subject: Re: [Gretl-users] autoreg formula and bessel function
To: Gretl list <gretl-users at lists.wfu.edu>
Message-ID: <alpine.DEB.2.00.0906142309280.12949 at ec-4.econ.univpm.it>
Content-Type: text/plain; charset="iso-8859-15"

On Sun, 14 Jun 2009, Allin Cottrell wrote:

> On Sun, 14 Jun 2009, Klein, Christoph wrote:
>
>> I'm using the autoreg feature of gretl quite often. Recently I
>> came across some inconsistencies when combining lagged and
>> non-lagged series within functions. I have attached a sample
>> script that creates 3 series using different autoreg statements.
>> Mathematically these statements are equivalent, but they yield
>> different results.
>
>> For the last statement, gretl caches the initial result of the
>> fracdiff call and recycles these results for each autoregression
>> iteration. I have attached a one-line patch which disables this
>> behaviour.
>
> I think your change is correct, and I've committed it to CVS.
> Jack, could you confirm this?

IIRC, the reason the source code had the "starting(p)" clause was
because 
of performance reasons. I'm all in favour of syntax consistency and, as
a 
consequence, I welcome the change (oh, and by the way, thanks Christoph,

nice job!); however, IMO some testing is needed to see what the impact
on 
speed is.

That said, I think that statements like "series y = 1 + y(-1)" are ok
for 
quick-n-dirty jobs, but for more general arma-like manipulations of time

series (especially in scripts) I'd strongly advise everyone to use the 
recently introduced "filter" function.

>> Additionaly for my dip>> implemented using the gsl library. I would like to contribute
>> this to gretl, too, but I don't know how you feel about linking
>> against gsl? I have seen that you use a copy of cephes functions
>> for some calculations, but AFAIK cephes doesn't provide bessel
>> functions for non-integer orders. If this has a chance of
>> inclusion I will clean up my implementation, write some docs and
>> submit this as a patch.
>
> Thanks!  For the present, however, I would prefer not to add a
> dependency on libgsl.  I'll take a look at the cephes bessel code;
> I think it does handle non-integer orders, though perhaps not as
> fully as gsl.

On the subject of special functions: I've been thinking for a while that

the beta and digamma functions could also be quite handy. Now, if 
Chreistoph had a little time to spare... :-)


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Universitα Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti

------------------------------

Message: 6
Date: Sun, 14 Jun 2009 23:24:39 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <r.lucchetti at univpm.it>
Subject: Re: [Gretl-users] gretl dropping variables 
To: Gretl list <gretl-users at lists.wfu.edu>
Message-ID: <alpine.DEB.2.00.0906142323460.12949 at ec-4.econ.univpm.it>
Content-Type: text/plain; charset="iso-8859-15"

On Sun, 14 Jun 2009, Allin Cottrell wrote:

> A further response to Nicolai Striewe's question in
> http://lists.wfu.edu/pipermail/gretl-users/2009-May/003346.html :
>
> There are three circumstances in which gretl deliberately drops
> regressors from a specification given by the user:
>
> 1. (all models) the variable is all zeros
> 2. (all models) the variable is exactly collinear with
>   other included regressors
> 3. (panel data, fixed effects estimator) the variable
>   is time-invariant
>
> If a regressor is dropped when none of these conditions is
> satisfied, that's a bug (unless I'm forgetting any other
> legitimate conditions, though I don't think so).

4. Logit/probit models, if a perfect predictor is spotted.


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Universitα Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti

------------------------------

Message: 7
Date: Sun, 14 Jun 2009 21:35:47 -0400 (EDT)
From: Allin Cottrell <cottrell at wfu.edu>
Subject: Re: [Gretl-users] gretl dropping variables 
To: r.lucchetti at univpm.it, Gretl list <gretl-users at lists.wfu.edu>
Message-ID: <Pine.A41.4.58.0906142134270.745956 at f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=US-ASCII

On Sun, 14 Jun 2009, Riccardo (Jack) Lucchetti wrote:

> On Sun, 14 Jun 2009, Allin Cottrell wrote:
>
> > A further response to Nicolai Striewe's question in
> > http://lists.wfu.edu/pipermail/gretl-users/2009-May/003346.html :
> >
> > There are three circumstances in which gretl deliberately drops
> > regressors from a specification given by the user:
> >
> > 1. (all models) the variable is all zeros
> > 2. (all models) the variable is exactly collinear with
> >   other included regressors
> > 3. (panel data, fixed effects estimator) the variable
> >   is time-invariant
> >
> > If a regressor is dropped when none of these conditions is
> > satisfied, that's a bug (unless I'm forgetting any other
> > legitimate conditions, though I don't think so).
>
> 4. Logit/probit models, if a perfect predictor is spotted.

Ah, yes, indeed.  Thanks.

Allin.


------------------------------

Message: 8
Date: Mon, 15 Jun 2009 11:43:25 -0300
From: Henrique <henrique.coelho at gmail.com>
Subject: [Gretl-users] A time series question
To: "[Gretl-users]" <gretl-users at lists.wfu.edu>
Message-ID:
	<b3173c600906150743na8d0f75j1c344165c1111838 at mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

Dear Gretl community,

I have three variables (time series) named x, y and z. I need to know
how "x" changes the impact of "y" on "z". Any suggestions?

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufGretl-users mailing list
Gretl-users at lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users

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