gretl: http:/gretl.sourceforge.net/
Gnu Regression, Econometrics and Time-series Library
Gretl is a cross-platform software package for econometric analysis, written in
the C programming language. It
Using gretl for Principles of Econometrics, 3rd Edition
Version 1.3131
Lee C. Adkins
Professor of Economics
Oklahoma State University
May 8, 2010
1
Visit http:/www.LearnEconometrics.com/gretl.html for
TIME-SERIES ANALYSIS: PASCAL PROGRAM
This program demonstrates alternative ways of characterising a stationary
stochastic process. On the one hand are the time-domain characterisations,
which depend u
EXERCISE: Fitting Trend Functions to Nonstationary Data
In order to understand the methods for estimating trend functions that are available in
the IDEOLOG program, you are invited to follow the instr
D.S.G. POLLOCK: TOPICS IN ECONOMETRICS 2011
1. EXPECTATIONS AND CONDITIONAL EXPECTATIONS
The joint density function of x and y is
f (x, y ) = f (x|y )f (y ) = f (y |x)f (x),
(1)
where
f (x, y )dx
f (x
By following the sequence of commands recorded in this log, you will be able to fit a trend to the
monthly data on U.S. Retail Sales. Using one of the facilities of the program, you will also be
able
LECTURE 1
1. Let y = E (y |x) be the conditional expectation of y given x. Prove that
E cfw_(y y )2 E cfw_(y )2 , where = (x) is any other function of x.
Show that E x(y y ) = 0 and give an interpret
EXERCISE: Analysis of the Pearson Height Data using GRETL
The Pearson data on the height of fathers v 1 and the height of sons v 2 is in
a plain text (ASCII) le labelled Pearson.txt. These can be brou
EXERCISE: Analysis of Panel Data using GRETL
The Data From Greene. The gretl program is already linked to a data
le greene14 1.gdt, which is designed to illustrate the analysis of panel data.
The data
By following the sequence of commands recorded in this log, you will be able to extract a trendcycle component from the monthly data on U.S. Retail Sales. The end effects are controlled by
inserting a
ASTSA :http:/www.stat.pitt.edu/stoffer/tsa2/
ASTSA is a Windows time series package that is distributed as Freeware
and is provided As is without warranty of any kind, either expressed or implied.
AST
A GUIDE TO MESOSAUR: A PROGRAM FOR THE
STATISTICAL ANALYSIS OF TIME SERIES
MESOSAUR is a computer program for the statistical analysis of time series,
which was created by a team of programmers and st
ECONOMETRIC THEORY: Exercise 1 (Tutorial)
Matrix Algebra and Manpower Planning
Matrix Multiplication in Microsoft Excel
There is a limited set of matrix operations which may be performed in Excel
with
EXERCISE: Models with Limited Dependent Variables
A Logistic Model of the Decision to Smoke or not to Smoke
Within the document Smoking and Drinking Amongst Adults 2008, which is
a component of the Ge
FILTERING MACROECONOMIC DATA
WienerKolmogorov Filtering of Stationary Sequences
The classical theory of linear ltering was formulated independently by
Norbert Wiener (1941) and Andrei Nikolaevich Kolm
EC3062 ECONOMETRICS
DYNAMIC REGRESSIONS MODELS
Autoregressive Disturbance Processes
Economic variables often follow slowly-evolving trends and they tend to be
strongly correlated with each other. If t
EC3062 ECONOMETRICS
LIMITED DEPENDENT VARIABLES
Logistic Trends
One way of modelling a process of bounded growth is via a logistic
function. See Figure 1. This has been used to model the growth of a
p
EC3062 ECONOMETRICS
MATRIX KRONECKER PRODUCTS
Consider the matrix equation Y = AXB . When all of the factors are 2 2
matrices, this becomes
y11
y21
y12
y22
=
a11
a21
a12
a22
x11
x21
x12
x22
x
x11
, A
EC3062 ECONOMETRICS
HYPOTHESIS TESTS FOR THE CLASSICAL LINEAR MODEL
The Normal Distribution and the Sampling Distributions
To denote that x is a normally distributed random variable with a mean
of E (
EC3062 ECONOMETRICS
IDENTIFICATION OF ARMA MODELS
A stationary stochastic process can be characterised, equivalently, by its
autocovariance function or its partial autocovariance function.
It can also
EC3062 ECONOMETRICS
LINEAR STOCHASTIC MODELS
Let cfw_x +1 , x +2 , . . . , x +n denote n consecutive elements from a stochastic process. If their joint distribution does not depend on , regardless of
EC3062 ECONOMETRICS
THE MULTIPLE REGRESSION MODEL
Consider T realisations of the regression equation
y = 0 + 1 x1 + + k xk + ,
(1)
which can be written in the following form:
y1
1
y2 1
. =.
. .
.
.
EC3062 ECONOMETRICS
ELEMENTARY REGRESSION ANALYSIS
We shall consider three methods for estimating statistical parameters.
These are the method of moments, the method of least squares and the
principle
IDEOLOG: A PROGRAM FOR FILTERING
ECONOMETRIC DATAA SYNOPSIS
OF ALTERNATIVE METHODS
By D.S.G. POLLOCK
University of Leicester
Email: stephen [email protected]
An account is given of various lte
EXERCISE: Testing an Hypothesis
Regarding Pearsons Data on Heights
From the evidence of Figure 1 of Lecture 1, which shows two regression lines tted
to Pearsons data, there seems to have been a signic
By following the sequence of commands recorded in this log, you will be able to fit a flexible
trend function to the logarithms of 129 annual observations on U.K. GDP. The flexible trend will
accommod
Gretl Users Guide
Gnu Regression, Econometrics and Time-series
Allin Cottrell
Department of Economics
Wake Forest university
Riccardo Jack Lucchetti
Dipartimento di Economia
Universit Politecnica dell
ECONOMETRIC THEORY: Exercise 2
Matrix Multiplication: Orthonormal Matrices and Rotations.
1. Find following matrix product:
S1
0
1
1
0
S2
S1
0
0
.
S2
2. Conrm that, if = 45 , then
cos
sin
sin
cos
EXERCISE: Estimating the Relationship Between
Aggregate Income and Consumption
The purpose of this exercise is to show how one might model the relationship
between two trended variables. The variables
By following the sequence of commands recorded in this log, you will be able to extract a trendcycle component from the data on U.K. Consumption. There are three alternative pathways to
the same end r