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Member "gretl/scripts/greene/greene15_3.inp" (17 Nov 2020, 1073 Bytes) of package /windows/misc/gretl-2020e-win32.zip:


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    1 # Groupwise heteroskedasticity analysis using the Grunfeld
    2 # investment data (see Greene, 4e, pp. 594-599), including
    3 # the inset "Example 15.3"
    4 
    5 open greene13_1.gdt
    6 
    7 # generate panelized variables (stacked time series)
    8 scalar n = $nobs
    9 series It = stack(I_*, n)
   10 series Ft = stack(F_*, n)
   11 series Ct = stack(C_*, n)
   12 
   13 # first, treat as if plain cross-sectional regression
   14 setobs 1 1 --cross
   15 ols It 0 Ft Ct 
   16 
   17 # note: "robust" below gives regular White's standard errors
   18 ols It 0 Ft Ct --robust
   19 
   20 # Run White's test
   21 modtest --white --quiet
   22 
   23 # Now treat as panel
   24 setobs 20 1:1 --stacked-time
   25 
   26 # OLS estimates should be exactly as above
   27 ols It 0 Ft Ct
   28 
   29 # With the dataset defined as a panel, "robust" produces Arellano-type 
   30 # HAC estimates by default
   31 ols It 0 Ft Ct --robust
   32 
   33 # For comparison with Greene, show Beck and Katz "Panel Corrected
   34 # Standard Errors" (these are not robust with respect to autocorrelation)
   35 set pcse on
   36 ols It 0 Ft Ct --robust
   37 
   38 # groupwise wls
   39 panel It 0 Ft Ct --unit-weights
   40 # iterate to ML solution
   41 panel It 0 Ft Ct --unit-weights --iterate --verbose
   42