[Gretl-users] Feature request...

Sven Schreiber svetosch at gmx.net
Thu Jun 25 09:13:55 EDT 2009


It seems to me that this is a good candidate for a packaged function, no?

cheers,
sven

Ignacio Diaz-Emparanza schrieb:
> On Miércoles, 24 de Junio de 2009 22:12:57 Jav escribió:
>> Hi everyone. I've been using Gretl for almost two months and I think is a
>> really great software for econometric analysis. I want to request another
>> test for Heteroskedasticity, I see there's some tests already in Gretl, but
>> I don't see the Goldfeld-Quandt contrast and since I'm not that good on
>> Gretl's commands I'm having a hard time trying to do that test.
>>
>> Well, that's pretty much my request... thanks to all.
> 
> You have an example on how to do the Goldfeld-Quandt test in /File/script 
> files/user file/Practice file/Ramanathan/ps8-3
> 
> It is not very long so I include it here:
> 
> <script>
> # PS8.3, for Example 8.4, Goldfeld-Quandt test
> open data8-1 
> genr LNSALARY=ln(SALARY)
> genr YRS2 = YEARS*YEARS
> # estimate log quadratic model for first 75 observations 
> smpl 1 75
> ols LNSALARY const YEARS YRS2 
> genr var1 = $sigma*$sigma
> genr df1 = $df
> # estimate log quadratic model for last 75 observations 
> smpl 148 222
> ols LNSALARY const YEARS YRS2 
> genr var2 = $sigma*$sigma
> genr df2 = $df
> # compute F-statistic and pvalue for test 
> smpl 1 222
> genr Fc = var2/var1
> pvalue F df1 df2 Fc 
> </script>
> 




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