Interval Estimation
Estimating a confidence interval using the hip data is also easy to do in gretl. Since the true variance, a2, is not known, the t-distribution is used to compute the …
Partial Correlations
Valid instruments are supposed to be correlated with the endogenous regressor. However, an important determinant of the statistical properties of the IV estimator is the degree of correlation between the …
A Basic Model
The most general expression of linear regression models that have both time and unit dimensions is seen in equation 15.1 below. yit — Plit + p2itx2it + Psitx3it + eit …
AGGREGATION WITH INDEPENDENT WORKS
A compilation of the Document or its derivatives with other separate and independent documents or works, in or on a volume of a storage or distribution medium, is called an …
ChapterRegression with Time-Series Data: Nonstationary Variables
The main purpose this chapter is to use gretl to explore the time-series properties of your data. One of the basic points we make in econometrics is that the properties …
Logit
The logit model is very similar to probit. Rather than the probability of an event being described by a normal distribution, it is modeled using a logistic distribution. The logistic …
Cointegration Test
Given that the two series are stationary in their differences (i. e., both are I(1)), the next step is to test whether they are cointegrated. In the discussion that follows, …
Testing for Normality
Your book discusses the Jarque-Bera test for normality which is computed using the skewness and kurtosis of the least squares residuals. To compute the Jarque-Bera statistic, you’ll first need to …
Specification Tests
There are three specification tests you will find useful with instrumental variables estimation. By default, Gretl computes each of these whenever you estimate a model using two-stage least squares. Below …
Estimation
Hill et al. (2011) provides a subset of National Longitudinal Survey which is conducted by the U. S. Department of Labor. The database includes observations on women, who in 1968, …
TRANSLATION
Translation is considered a kind of modification, so you may distribute translations of the Document under the terms of section 4. Replacing Invariant Sections with translations requires special permission from …
Series Plots
The first thing to do when working with time-series is to take a look at the data graphically. A time-series plot will reveal potential problems with your data and suggest …
Multinomial Logit
Starting with version 1.8.1, Gretl includes a routine to estimate multinomial logit (MNL) using maximum likelihood. In versions before 1.8.1 the alternatives were either (1) use gretl’s maximum likelihood module …
VECM: Australian and U. S. GDP
You have two difference stationary series that are cointegrated. Consequently, an error correction model of the short-run dynamics can be estimated using least squares. A simple error and the estimates …
Using R with gretl
Another feature of gretl that makes it extremely powerful is its ability to work with another free program called R. R is actually a programming language for which many statistical …
Testing for Weak Instruments
To test for weak instruments, regress each independent variable suspected of being contemporaneously correlated with the error (xk) onto all of the instruments (internal and external). Suppose xK is the …
Fixed Effects
The model (15.2) is reestimated using fixed effects. Race and education do not change for individuals in the sample, and their influences cannot be estimated using fixed effects. 1 open …
FUTURE REVISIONS OF THIS LICENSE
The Free Software Foundation may publish new, revised versions of the GNU Free Documentation License from time to time. Such new versions will be similar in spirit to the present …
Spurious Regressions
It is possible to estimate a regression and find a statistically significant relationship even if none exists. In time-series analysis this is actually a common occurrence when data are not …
Conditional Logit
Conditional logit is used to model choices when there is alternative specific information available. When choosing among brands of soft-drinks, you have information on the choice that an individual makes …
Using gretl’s vecm Command
The Australian/U. S. GDP example above was carried out manually in a series of steps in order to familiarize you with the structure of the VEC model and how, at …
Ways to Use R in gretl
The standard method of working with R is by writing scripts, or by typing commands at the R prompt, much in the same way as one would write gretl scripts …
Sargan Test
The final test is the Sargan test of the overidentifying restrictions implied by an overidentified model. Recall that to be overidentified just means that you have more instruments than you …
Random Effects
The random effects estimator treats the individual differences as being randomly assigned to the individuals. Rather than estimate them as parameters as we did in the fixed effects model, here …
Tests for Stationarity
The (augmented) Dickey-Fuller test can be used to test for the stationarity of your data. To perform this test, a few decisions have to be made regarding the time-series. The …
Ordered Probit
In this example, the probabilities of attending no college, a 2 year college, and a 4 year college after graduation are modeled as a function of a student’s grades. In …
Vector Autoregression
The vector autoregression model (VAR) is actually a little simpler to estimate than the VEC model. It is used when there is no cointegration among the variables and it is …
A few basic commands and conventions
The first thing I usually do is to change the name to something less generic, e. g., cola, using > cola <-gretldata You can also load the current gretl data …
Multiple Endogenous Regressors and the Cragg-Donald F-test
3Cragg and Donald (1993) have proposed a test statistic that can be used to test for weak identification (i. e., weak instruments). In order to compute it manually, you have …
Between Estimator
Before discussing such tests, another estimator of the model’s parameters deserves mention. The between estimator is also used in some circumstances. The between model is yi = ві + в2Х2 …
Other Tests for Nonstationarity
There are other tests for nonstationarity in gretl that you may find useful. The first is the DF-GLS test. It performs the modified Dickey-Fuller t-test (known as the DF-GLS test) …
Poisson Regression
When the dependent variable in a regression model is a count of the number of occurrences of an event you may want to use the poisson regression model. In these …
Impulse Response Functions and Variance Decompositions
Impulse response functions show the effects of shocks on the adjustment path of the variables. Forecast error variance decompositions measure the contribution of each type of shock to the forecast …
GNU Free Documentation License
Version 1.2, November 2002 Copyright © 2000,2001,2002 Free Software Foundation, Inc. 51 Franklin St, Fifth Floor, Boston, MA 02110-1301 USA Everyone is permitted to copy and distribute verbatim copies of …
Estimating Nonlinear Relationships
Since economic relationships are often not linear, we often need to allow for the possibility that the independent and dependent variable are nonlinearly related. Consider the following simple regression price …
