Dear gretl users,
first of all let me thank you, that you have already provided me with solutions
on other topics. Unfortunately, I need your help again.
The problem I am now trying to solve is the following.
Basically, I want to set up a rolling regression with parameter restrictions
(all parameters, except for the constant shall sum to one) and store the
coefficient estimates. So far this poses no problem:
<hansl>
Matrix C={}
List indep=indep1..indep10
Smpl 1 36
Loop i=1..360
Ols dep const indep
Restrict
b[2]+b[3]+b[4]+b[5]+ b[6]+b[7]+b[8]+b[9]+b[10]=1
end restrict
Matrix c=coeff'
C=C|c
Smpl +1 +1
Endloop
</hansl>
But as you can see, I have lots of regressors and not all might be significant,
or depending on the time window the significance will change.
I know that I can use the omit --auto function to select only significant
coefficient estimates, but here it is, where the problems start:
1.) Assume that during the first window, there are 3 significant coefficients,
so that the matrix will have 3 columns. If it should be, that during the next
time window, there are, say 4 significant coefficients, then the script breaks
down (matrices do not fit). Therefore, I guess I have to reshape the matrix
somehow, to allow for the new column.
2.)Assume that during the first window there are 3 significant coefficients (2,
3, 4) and during the next time window there are 3 different significant
coefficients (6,7,8). Then, the dimension of the matrix would be correct, but
interpreting the matrix of coefficients afterwards in a time series context
would not make much sense.
To summarize 1.) and 2.), I would need a matrix with 10 columns, where "NA" is
entered, if the respective coefficient is insignificant and else the
coefficient. So that one can obtain the time series of significant regressors.
Date indep1 indep2 ... indep10
1 0,8 0,1 0,1
2 0,6 NA NA
3 0,75 NA 0,05
The third issue arises with the parameter restriction. After omitting
insignificant variables, the restriction that coefficients sum to one should
still apply.
Unfortunately there seems to be no simple shortcut for the restriction (for
example restrict sum(coeff(2..n))) , whith n being the last significant
coefficient).
As I don't know ex-ante which parameters would be significant, I somehow have
to dynamically readjust the restriction. Is there a way how one can do it?
Thanks in advance for your time answering my questions.
Kind regards,
Jan
