[Gretl-users] Help - estimation of Profile likelihood function for TVECM

Miranda Svanidze miranda.svanidze at gmail.com
Mon May 18 09:16:02 EDT 2015


Thanks!
Well I run script without "--Progressive" option. Unfortunately, it dropped
my second variable (ECT1) because it contains only 0-s. However, I need
both in the equation ECT1 and ECT2. Do you have any solution?
Here is the copy of results:
Current session: 2015-05-18 15:13

? T=$nobs
Replaced scalar T = 94
? loop i=1..T --quiet
> genr   ECT1 = ECT*(time <= i)
> genr   ECT2 = ECT-ECT1
> ols     D_ARM   *ECT1   ECT2   *D_FRN1   D_ARM1
> genr   LF = $lnl
> store "C:\Users\Svanidze\Desktop\LF.gdt" LF
> endloop

Model 767: OLS, using observations 2006:12-2014:08 (T = 93)
Dependent variable: D_ARM
*Omitted because all values were zero: ECT1*

             coefficient   std. error   t-ratio   p-value
  --------------------------------------------------------
  ECT2       −0.281632     0.0562133    −5.010    2.70e-06 ***
  D_FRN1     −0.0226867    0.103735     −0.2187   0.8274
  D_ARM1      0.131557     0.0901396     1.459    0.1479
******************** I skip the rest
**********************************************

Best,
Miranda

On Mon, May 18, 2015 at 3:03 PM, Riccardo (Jack) Lucchetti <
r.lucchetti at univpm.it> wrote:

> On Mon, 18 May 2015, Miranda Svanidze wrote:
>
>  To clarify my problem written in the previous email, I am adding results
>> from Gretl.
>>
>
> I dn't understand why you need the --progressive flag. Is the following
> example of any help to you?
>
> <hansl>
> set echo off
> set messages off
>
> open AWM.gdt --quiet
> series y = ln(YER)
> series c = ln(PCR)
> series z = y - c
> diff y c
>
> T = $nobs
> series ll = NA
>
> loop i=1..T --quiet
>     series zp = z * (time < i)
>     series zm = z - zp
>     ols d_c 0 d_y zp(-1) zm(-1) --quiet
>     ll[i] = $lnl
> endloop
>
> plot ll
>     options time-series with-lines
> end plot --output=display
> </hansl>
>
>
> -------------------------------------------------------
>   Riccardo (Jack) Lucchetti
>   Dipartimento di Scienze Economiche e Sociali (DiSES)
>
>   Università Politecnica delle Marche
>   (formerly known as Università di Ancona)
>
>   r.lucchetti at univpm.it
>   http://www2.econ.univpm.it/servizi/hpp/lucchetti
> -------------------------------------------------------
>
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