Questions tagged [gretl]

gretl refers to Gnu Regression, Econometrics and Time-series Library.

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15 views

Nyblom Harvey Test

I created in Matlab two independent random walk through the command: y = cumsum(randn(10000,2)) Although the series are clearly independent, when I try to run the ...
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1answer
45 views

How to compute Poisson mfx when a regressor changes by more than one unit?

I am running a Poisson regression on some data and I have to interpret the marginal effects on the dependent variable when one of the regressors decreases by 45 units. I understand the marginal ...
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186 views

How can I implement ADF-test results for panel data in Gretl?

I'm doing an analysis of panel data in Gretl (I've heard EViews is better for this purpose, but then again, Gretl is free and seems good enough to get the job done), and before starting my actual ...
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33 views

How we can interpret the behaviour of the residuals in a time series data?

Is there a potential presence of autocorrelation in the error term?
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656 views

What is the difference between HAC and PCSE?

I have data consist of 88 companies in 5 year (440 observations) and used 3 independent variables with 3 control variables (total 6 variables). I have already test the best model for my data and the ...
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52 views

Normality in multiple regression after using first differences

I´m running multiple regression and after using first differences (as the only method which was succesful with correcting autocorrelation) my model has non-normal reasiduals. As you can see on . P-...
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363 views

Autocorrelation in Gretl, part2/2 Cochrane Orcutt method

This is PART 2 of my questions about autocorrelation in software GRETL. Hi, I´m student and I need to analyse the effect of monetary policy (represented by exchange rate, interest rate, money supply ...
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1answer
484 views

Interpreting diagnostics and tests with time series data

I am analysing the effect of monetary policy on output and inflation during crisis and after. Monetary policy is represented by exchange rate, interest rate, money supply and indicator of systemic ...
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1answer
358 views

Outlier in differentiated series

I'm studying methods for time series analysis, using gretl. I have this time series. I used TRAMO and X12-ARIMA to detect probable outlier, but I found nothing. So I used difference-log of first ...
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373 views

Unbalanced panel with one-way random effects a la Swamy/Arora

The one-way random effects model for balanced data as described by Swamy/Arora (1978) is extended to the unbalanced case in Baltagi/Chang (1994) (another exposition is in Baltagi's text book). Various ...
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1answer
2k views

Why is Variance Inflation Factors(VIF) in Gretl and Statmodels different?

I have 3 variables R&D Spend, Administration and Marketing spends. I wanted to calculate VIF and eliminate a variable for better fit to the model. I tried to use the solution at ...
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1answer
810 views

Replication of results from example in “Econometric Analysis of Panel Data”

In the textbook Econometric Analysis of Panel Data by Badi H. Baltagi is an example for a dynamic panel data analysis. It is based on the two articles: Baltagi, Badi H., James M. Griffin, and Weiwen ...
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729 views

OLS regression and detrending in GRETL

I am using a panel data study as a guide for my paper, in which they detrend the population growth variable. However, I'm only performing an OLS analysis and I was therefore wondering if detrending in ...
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2answers
3k views

How to deal with heteroskedasticity in panel regression (gretl)

I'm currently analyzing the profitability determinants of Isamic banks in GCC countries and I'd like to run a regression in which ROA is the dependent variable and the independent variables are 5 bank-...
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1answer
312 views

How to verify linear functional form in a MLRM?

I'm performing a Linear regression but I don't know how to verify that the coefficients are linear (Performing with Gretl software) could you guys help me to find a way to verify this?
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2answers
970 views

How to implement a SVAR with sign restrictions

I am trying to estimate a bi-variate sign-restricted SVAR with daily oil and stock prices and two shocks (demand and supply). The ultimate goal is to explain how much of the recent fall in oil ...
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1answer
1k views

Easy explanation of how to fit a multivariate GARCH model (in Gretl)

I have multiple financial time series data (FX-rates, commodity prices) that have been recorded daily (without weekends) for the past six years and want to analyze their effect/influence on the stock ...
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2answers
2k views

Interpretation of results from Johansen's co-integration test

I am not able to interpret the following result output for gretl for co-integration: Rank $\ $ Eigenvalue $\ \ $ Trace test $\ \ $ p-value $\ \ $ Lmax test $\ $ p-value 0 $\ \ \ \ \ \ \ $ 0.032753 ...
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1answer
1k views

Engle-Granger Test with I(1) - Gretl

I have data with 4 variables that are rather trending upwards. They are mostly stationary at level, but only when I include a constant and trend into the ADF unit root test. They are not stationary ...
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2answers
4k views

Interpretation of Engle-Granger Cointegration Test (Gretl)

How would you interpret following result from running the Engle-Granger cointegration test in Gretl: ...
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1answer
2k views

Mann-Kendall test Stata

I am new in this forum. I am beginning to work with time series, I have a daily (25,000+ observations) temperature dataset (01/01/1946 - 07/01/2014) I want to test for the following: Trends: So ...
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3k views

F-test: Testing unrestricted model vs. restricted model in Gretl and SPSS

I have a proposed a model for Corporate Social Responsibility determinants (not important). Among my independent variables I obtain two that are statistically not significant. Following Wooldridge ...
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2answers
272 views

How many lags in Q-statistic?

How many lags should one use a Ljung-Box test for the returns on 1320 daily price quotes? Is there a rule of thumb? What is exactly the impact in the end result of misuse of lag number?
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1k views

Omitted Variable Bias, verification in Gretl

I am trying to verify the expression for Omitted Variable Bias (OVB) as given e.g. in Wooldridge: $\tilde{\beta_1} = \hat{\beta_1} + \hat{\beta_2} \cdot \tilde{\delta_1}$, where $\tilde{\delta_1}$ is ...
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1answer
2k views

Gretl - calculate the estimated variance of the residuals

I want to learn the statistics package gretl. My first attempt to do so is to calculate a linear regression model of a set of data: $$y_i = \alpha + \beta x_i + u_i$$ First I want to create a ...