Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [gretl]

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

gretl refers to Gnu Regression, Econometrics and Time-series Library. It is a cross-platform software package for econometric analysis, written in the C programming language. It is free, open-source software. See details here.

25 questions
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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 order to make the serie stationary, and I had…
zick094
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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 the estimated slope of the regression of $x_2$ on…
Markus Loecher
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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 software packages claim to implement it.…
Helix123
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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…
Saqib Mujtaba
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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 Xiong. "To pool or not to pool: Homogeneous versus…
hannes101
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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 price of a certain company. I have tried to do…
Jonathan Rhein
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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 far I used OLS, but I have heard about…
Jorge Cárcamo
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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 crossplot of the data and then calculate the variance of…
Le Max
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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 and indicator of systemic risk + dummy financial…
EconLena
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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 risk + dummy financial crisis. I´ve chosen multiple…
EconLena
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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-specific variables (Size, Capital Adequacy…
Stefano Marotta
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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 prices stems from a demand shock (defined as a fall in…
user2952666
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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 without a constant or with a constant in the…
RaymondD
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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?
user43763
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Gretl's nonlinearity test

I would like to know the bibliographic reference for gretl's nonlinearity test. Can someone help me? There are two tests for checking nonlinearity in regression models: Lagrange Multiplier test for nonlinearity (squares); Lagrange Multiplier test…
Leonardo
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