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Questions tagged [gretl]

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

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GRETL panel data analysis

I have panel data and want to use GMM-SYS (dynamic panel model). When should I put a tick on "Asymptotic standard error"? If I analyze the European Union countries, do I need to put a tick?
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140 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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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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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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172 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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202 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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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
1k 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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483 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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382 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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1k 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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160 views

How to verify linear functional form in a MLRM?

Im prforming 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 verfy this? Thanks in advance!...
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738 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
898 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
1k 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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766 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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3k 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
1k 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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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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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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961 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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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 ...