Dear List, Does anyone have a script for computing Bayesian-based confidence intervals for the impulse responses from a VAR? If not, are there plans to implement this in GRETL natively?
Thanks, Tom Volscho Thomas W. Volscho Assistant Professor of Sociology Department of Sociology, Anthropology, and Social Work City University of New York-College of Staten Island 2800 Victory Blvd., Bldg. 4S, Room 210 Staten Island, NY 10314 phone: 718-982-3774 email: thomas.volscho(a)csi.cuny.edu web: http://scholar.library.csi.cuny.edu/~volschot ________________________________________ From: gretl-users-bounces(a)lists.wfu.edu [gretl-users-bounces(a)lists.wfu.edu] On Behalf Of gretl-users-request(a)lists.wfu.edu [gretl-users-request(a)lists.wfu.edu] Sent: Wednesday, October 21, 2009 12:00 PM To: gretl-users(a)lists.wfu.edu Subject: Gretl-users Digest, Vol 33, Issue 23 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. gretl batch time series plot with forecast and confidence interval (was Re: Replay of saved session does not work) (Marco Dieckhoff) 2. Re: gretl batch time series plot with forecast and confidence interval (was Re: Replay of saved session does not work) (Allin Cottrell) 3. Re: concerning the commands for double bounded DC in contingent valuation (Riccardo (Jack) Lucchetti) 4. Re: concerning the commands for double bounded DC in contingent valuation (Allin Cottrell) 5. Re: gretl batch time series plot with forecast and confidence interval (was Re: Replay of saved session does not work) (Allin Cottrell) ---------------------------------------------------------------------- Message: 1 List-Post: gretl-users@gretlml.univpm.it Date: Tue, 20 Oct 2009 19:59:24 +0200 From: Marco Dieckhoff <dieck(a)gmx.de> Subject: [Gretl-users] gretl batch time series plot with forecast and confidence interval (was Re: Replay of saved session does not work) To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <4ADDFA7C.4010307(a)gmx.de> Content-Type: text/plain; charset=ISO-8859-1; format=flowed Allin Cottrell schrieb: > On Mon, 19 Oct 2009, Allin Cottrell wrote: > >> I'll add a fix shortly, to ensure that when observations are >> added implicitly in the context of forecasting, this gets >> recorded in the command log. > That's now done, in CVS and the Windows snapshot. > Thanks, worked that out. I'm getting there step by step, just one missing :) My gretl batch command set: open TempData1.csv setobs 24 1:01 --time-series arima 1 0 1 ; 2 1 0 dataset addobs 6 fcasterr 2:01 2:06 works good so far. Now I wanted to procure gnuplot a graph like Figure 9.13 on page 135 of http://www.learneconometrics.com/gretl/ebook.pdf Time series plot with forecast and confidence interval. I tried "fcasterr 2:01 2:06 --plot" but gretl -b script does nothing, I can't find any PLT or other files. ? fcasterr 2:01 2:06 --plot For 95% confidence intervals, z(.025) = 1.96 Obs temp prediction std. error 95% confidence interval 2:01 37.7295 0.718507 36.3212 - 39.1378 .. 2:06 36.4813 1.86236 32.8311 - 40.1316 Done gnuplot itself works: ? gnuplot temp hour --with-lines --time-series wrote /home/user/gretl/gpttmp01.plt Done I look through the documentation, but I can't find how to procure that special gnuplot using gretl command line utility with linux. Can anyone help me? Thanks in advance, Marco ------------------------------ Message: 2 List-Post: gretl-users@gretlml.univpm.it Date: Tue, 20 Oct 2009 15:32:18 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu> Subject: Re: [Gretl-users] gretl batch time series plot with forecast and confidence interval (was Re: Replay of saved session does not work) To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <Pine.A41.4.58.0910201529570.2736420(a)f1n11.sp2net.wfu.edu> Content-Type: TEXT/PLAIN; charset=US-ASCII On Tue, 20 Oct 2009, Marco Dieckhoff wrote: > My gretl batch command set: > > open TempData1.csv > setobs 24 1:01 --time-series > arima 1 0 1 ; 2 1 0 > dataset addobs 6 > fcasterr 2:01 2:06 > > works good so far. > > Now I wanted to procure gnuplot a graph like Figure 9.13 on page 135 of > http://www.learneconometrics.com/gretl/ebook.pdf > Time series plot with forecast and confidence interval. > > I tried "fcasterr 2:01 2:06 --plot" but gretl -b script does > nothing... It seems that the --plot option for fcasterr got dropped when we merged "fcasterr" with "fcast" in gretl 1.7.4. I'll see about reinstating it, since it seems like a useful thing to have. Allin Cottrell ------------------------------ Message: 3 List-Post: gretl-users@gretlml.univpm.it Date: Tue, 20 Oct 2009 23:55:56 +0200 (CEST) From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it> Subject: Re: [Gretl-users] concerning the commands for double bounded DC in contingent valuation To: Gretl list <gretl-users(a)lists.wfu.edu> Message-ID: <alpine.DEB.2.00.0910202348380.16885(a)ec-4.econ.univpm.it> Content-Type: text/plain; charset="iso-8859-15" On Mon, 19 Oct 2009, Allin Cottrell wrote: > >> On Mon, 19 Oct 2009, Dorian Litvine wrote: >> >>> My name is Dorian, I'm trying to estimate the data of a double >>> bounded dichotomous choice (contingent valuation) thanks to a >>> maximum likelihood estimation with a linear specification... > > When I first responded to this I was pretty much totally > unfamiliar with double-bounded contingent valuation. I've now > read a few paragraphs on the topic, so here are some further > thoughts -- now based on not-quite-total ignorance ;-). I'm > writing this up for the record in case it's of use to Dorian and > others who might want to use gretl for such a purpose. If I'm not grossly mistaken, the model Allin is describing is exactly the one that you can estimate via interval regression (the intreg command). Dorian's script seems to use a slightly different model, since he uses a logistic distribution instead of a normal, but that's not important. In a double-bound valuation survey, the two bids enable to place the respondents' willingness to pay inside an interval, which becomes your "dependent variable", so to speak. I'm attaching an example script that generates artificial data and should be (hopefully) self-explanatory. Riccardo (Jack) Lucchetti Dipartimento di Economia Universit? Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
