[Gretl-users] Feature request...

Jav jav2.0a at gmail.com
Thu Jun 25 16:31:45 EDT 2009


Thanks a lot. And I'm agree with Seven Schreiber, it would be great to have
it a as a packaged function...

2009/6/25 artur bala <ab.news at laposte.net>

>  But don't forget at first to sort the data--on an ascending order--by the
> variable supposed to be the cause of heteroskedasticity... ;-)  (by
> clicking on Data/Sort data)
>
> artur
>
>
> Sven Schreiber a écrit :
>
> 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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