Using gret l for Principles of Econometrics, 4th Edition

# Linear Regression

The parameters of the model are estimated using least squares which can be done using the pull­down menus and dialog boxes (GUI) or by using gretl’s handy scripting language (affectionately called hansl). Both of these will be demonstrated below. The GUI makes it easy to estimate this model using least squares. There are actually two ways to open the dialog box. The first is to use the pull-down menu. Select Model>Ordinary Least Squares from the main gretl window as shown below in Figure 5.1. This brings up the dialog box shown in Figure 5.2. As in chapter 2

you need to put the dependent variable (sales) and the independent variables (const, price, and advert) in the appropriate boxes. Click OK and the model is estimated. The results appear in Table 5.1 below.

There is a shortcut to get to the specify model dialog box. On the toolbar located at the bottom of the main gretl window is a button labeled /3. Clicking on this button as shown in Figure 5.3 will open the OLS specify model dialog box in Figure 5.2.

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## Using gret l for Principles of Econometrics, 4th Edition

### Simulation

In appendix 10F of POE4, the authors conduct a Monte Carlo experiment comparing the performance of OLS and TSLS. The basic simulation is based on the model y = x …

### Hausman Test

The Hausman test probes the consistency of the random effects estimator. The null hypothesis is that these estimates are consistent-that is, that the requirement of orthogonality of the model’s errors …

### Time-Varying Volatility and ARCH Models: Introduction to Financial Econometrics

In this chapter we’ll estimate several models in which the variance of the dependent variable changes over time. These are broadly referred to as ARCH (autoregressive conditional heteroskedas - ticity) …

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