[Gretl-users] Nonlinear switching regression vs Loop constructs

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Fri Jan 28 17:12:06 EST 2011


On Fri, 28 Jan 2011, GREg Ory wrote:

> Dear Gretl community,
>
> I need some tips on estimating panel data using nonlinear switching
> regression technique.

Is this what you have in mind?

<script>
set echo off
set messages off

function series GDV(series x, scalar m, scalar s)
     series den = exp(pi*(m-x)/(s*sqrt(3)))
     return 1/(1+den)
end function

# open the dataset
open gretl_plant.gdt

#rescale stuff a little to avoid numerical problems
Price /=100
HHI *= 100
Domestic_Sales /= 10000
Export_Sales /= 10000
Total_import /= 10000

# initialisation
scalar m = mean(HHI)
scalar s = sd(HHI)
series Log = GDV(HHI, m, s)

series e = (Price - Log)
list X = const Domestic_Sales Export_Sales Soda PCFT Total_import
ols e X -q
b = $coeff

# do NLS
nls Price = lincomb(X,b) + Log
     series Log = GDV(HHI, m, s)
     params b m s
end nls -q

# print out results with some nice formatting
matrix cf = b | {m; s}
matrix se = sqrt(diag($vcv))
vnam = varname(X) ~ ",mu,sigma"
cfse = cf ~ se
modprint cfse vnam
</script>

HTH,

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

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


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