The BMST Package for Gretl

As a follow-up to this recent post, I heard again from Artur Tarassow.

You'll see from his email message below that he's extended his earlier work and has prepared a new package for Gretl called "Binary Models Specification Tests".

It's really good to see tests of this type being made available for users of different software - especially free software such as Gretl.

Artur writes:

Specification Tests for Logit Models Using Gretl

In various earlier posts I've commented on the need for conducting specification tests when working with Logit and Probit models. (For instance, see here, here, and here.) 

One of the seminal references on this topic is Davidson and MacKinnon (1984). On my primary website, you can find a comprehensive list of other related references, together with EViews files that will enable you to conduct various specification tests with LDV  models.

The link for that material is here.

Today I had an email from Artur Tarassow at the University of Hamburg. He wrote:

I know that you're already aware of the open-source econometric software called "Gretl". 

I would like to let you know that I updated my package "LOGIT_HETERO.gfn". This package runs both the tests of homoskedasticity and correct functional form based on your nice program "Logit_hetero.prg" written for EViews.

If you want to have a look at it, simply run:

    set echo off

    set messages off

    install LOGIT_HETERO.gfn

    include LOGIT_HETERO.gfn

    open http://web.uvic.ca/~dgiles/downloads/binary_choice/Logistic_Burr.wf1

    logit Y 0 X1 X2

    matrix M = LOGIT_HETERO(Y,$xlist,$coeff,1)

    print M

Thanks for this, Artur - I'm sure it will be very helpful to many readers of this blog.

Footnote: See Artur's comment below, and the more recent post here. In particular, note Artur's comment: As a note to your blog readers: The two Logit model related packages “logit_burr.gfn” and “LOGIT_HETERO.gfn” are not available any more, as BMST includes both of them.

Reference

Davidson, R. & J. G. MacKinnon, 1984. Convenient specification tests for logit and probit models. Journal of Econometrics, 25, 241 262.

© 2016, David E. Giles

Gretl Update

The Gretl econometrics package is a great resource that I've blogged about from time to time. It's free to all users, but of a very high quality. 

Recently, I heard from Riccardo (Jack) Lucchetti - one of the principals of Gretl. He wrote:

"In the past, you had some nice words on Gretl, and we are grateful for that.

Your recent post on HEGY made me realise that you may not be totally aware of the recent developments in the gretl ecosystem: we now have a reasonably rich and growing array of "addons". Of course, being a much smaller project than, say, R, you shouldn't expect anything as rich and diverse as CRAN, but we, the core team, are quite pleased of the way things have been shaping up."

The HEGY post that Jack is referring to is here, and he's quite right - I haven't been keeping up sufficiently with some of the developments at the Gretl project. 

There are now around 100 published Gretl "addons", of "function packages". You can find a list of those currently supported here. By way of example, these packages include ones as diverse as Heteroskedastic I.V. Probit; VECM for I(2) Analysis; and the Moving Blocks Bootstrap for Linear Panels.

If you go to this link you'll be able to download the Gretl Function Package Guide. This will tell you everything you want to know about using function packages in Gretl, and it also provides the information that you need if you're thinking of writing and contributing a package yourself.

Congratulations to Jack and to Allin Cottrell for their continuing excellent work in making Grelt available to all of us!

© 2015, David E. Giles

Confidence Intervals for Impulse Response Functions

An impulse response function gives the time-path for a variable explained in a VAR model, when one of the variables in the model is "shocked". We get a "picture" of how the variable in question responds to the shock over several periods of time.

An impulse response function (IRF) is essentially a type of conditional forecast. It's a messy function of the estimated coefficients in the VAR model, and the data. So, it's really just a point estimate, period by period. There's some uncertainty associated with the IRF, of course - this comes from the uncertainty associated with the estimated coefficients in the model. So, we really need to report a confidence band, period by period, to go with the IRF.

Papers I've Been Reading

Here are some of the papers I've been reading over the past week. Hopefully, they'll also be of interest to readers of this blog.

In no particular order:

• M. M. Al-Sadun, 2013. Geometric and long run aspects of Granger causality.
• D. F. Hendry & F. Pretis, 2013. Some fallacies in econometric modelling of climate change.
• M. Blazejowski & J. Kwiatowski, 2013. Bayesian model averaging and jointness measures for gretl.
• P. Lavergne, 2013. Model equivalence tests in a parametric framework.
• D. I. Stern & K. Enflo, 2013. Causality between energy and output in the long-run. (Added, 16/03/2013: also see this paper.)
• J. M. Wooldridge, 2012. Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables.

© 2013, David E. Giles

Gretl Conference 2013

It was good to hear today from Riccardo (Jack) Luccetti, one of the developers of the Gretl econometrics package.

Jack wrote to draw my attention to the Gretl Conference 2013 that is being held in Oklahoma City in June of this year. This is the first time that the conference is being held in Nth. America.

Not sure if I will be able to make it, but it is very tempting!

© 2013, David E. Giles

Monte Carlo Experiments With gretl

I keep saying that I must make more use of the gretl econometrics package. It's great software, and it's free! So, shame on me for not putting my effort where my mouth is.

Fortunately, Riccardo (Jack) Lucchetti keeps a bit of an eye on me in this regard!

New Release of Gretl

It's great to see that there's recently been a new release of the Gretl Econometrics Package. Version 1.9.8 was released in late March. You can follow developments and news, and share you experiences with Gretl, on the associated Wiki.

One thing that's sometimes overlooked as our econometrics computing becomes easier and easier, is that ultimately it's what's "under the hood" that counts. How accurate and robust is the underlying code? The Gretl team should be commended for addressing this issue right "up front". The code seems to pass the standard tests with flying colours, as you can see from a side-bar link on their home page.

There's lots to love about Gretl, and its developers deserve a huge "Thank You!"

© 2012, David E. Giles

New Year Resolutions

Well, here we go again! It's time of year that we make all of those resolutions - the ones that usually get broken before the holiday decorations have been packed away. Not this year, though!

Confidence Bands for the H-P Filter: Correction!

Aaaaaghhhh!!

In a post a couple of days ago I posted about constructing confidence bands for the trend that's extracted from a time-series using the Hodrick-Prescott (HP) filter. There was an error in my EViews program code that affected the last graph I showed in that post.

VECMs, IRFs & gretl

In a comment on my post yesterday, "psummers" kindly pointed out that the free econometrics package, gretl, will also produce confidence intervals for Impulse Response Functions (IRFs) generated by a VECM.

I had an earlier post about gretl, and here is a very brief run-down on using it to produce those VECM-IRF confidence intervals.

gretl

In comments on a recent post, "Ben" and Tal Galili very sensibly asked if I could make R code available for the econometric analysis in my posts, in addition to EViews code. I'll be trying to do this wherever I can, given the time constraints.

The important point implicit in these comments is that R is free, open-source, software, whereas EViews is not. I'm definitely a supporter of open-source. Here's a suggestion that may be helpful in the meantime, especially if you aren't feeling up to learning R.

There's a nice open-source package called gretl that has much in common with EViews. It's specifically econometrics-oriented, with lots of the time-series features that are part of EViews' strength, and that are hard to match in a freindly way in a lot of other econometrics packages.

In case you're wondering, gretl is an acronym for Gnu Regression, Econometrics and Time-series Library.

The really good news is that is is very simple to open foreign data files in gretl, including EViews workfiles, SAS, STATA, and SPSS files. This might help some readers of this blog who don't have access to EViews.

Right now, there seem to be a few problems with opening some EViews 7 files in gretl - earlier versions of EViews are fine. Allin Cottrell is kindly checking this out, and I'll keep you posted on this point.

From here on I'll try and supply data in EViews.wf1, Excel, R, and STAT.dta files to maximize accessibility.

I'm only just starting to play around with gretl, but it looks just great!

(HT to Martina Lui - long overdue!)

© 2011, David E. Giles