Gretl Manual: Gnu Regression, Econometrics and Time-series Library | ||
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Prev | Chapter 9. Command Reference | Next |
Table 9-2 shows the estimators available under the Model menu in gretl's main window. The corresponding script command (if there is one available) is shown in parentheses. For details consult the command's entry in Chapter 9.
Table 9-2. Estimators
Estimator | Comment |
---|---|
Ordinary Least Squares (ols) | The workhorse estimator |
Weighted Least Squares (wls) | Heteroskedasticity, exclusion of selected observations |
HCCM (hccm) | Heteroskedasticity corrected covariance matrix |
Heteroskedasticity corrected (hsk) | Weighted Least Squares based on predicted error variance |
Cochrane–Orcutt (corc) | First-order autocorrelation |
Hildreth–Lu (hilu) | First-order autocorrelation |
Autoregressive Estimation (ar) | Higher-order autocorrelation (generalized Cochrane–Orcutt) |
Vector Autoregression (var) | Systems of time-series equations |
Cointegration test (coint) | Long-run relationships between series |
Two-Stage Least Squares (tsls) | Simultaneous equations |
Logit (logit) | Binary dependent variable (logistic distribution) |
Probit (probit) | Binary dependent variable (normal distribution) |
Least Absolute Deviation (lad) | Alternative to Least Squares |
Rank Correlation (spearman) | Correlation with ordinal data |
Pooled OLS (pooled) | OLS estimation for pooled cross-section, time series data |
Multiple precision OLS (mpols) | OLS estimation using multiple precision arithmetic |
Table 9-3 shows the tests that are available under the Tests menu in a model window, after estimation.
Table 9-3. Tests for models
Test | Corresponding command |
---|---|
Omit variables (F-test if OLS) | omit |
Add variables (F-test if OLS) | add |
Nonlinearity (squares) | lmtest |
Nonlinearity (logs) | lmtest |
Nonlinearity (Ramsey's RESET) | reset |
Heteroskedasticity (White's test) | lmtest |
Autocorrelation up to the data frequency | lmtest -o |
Chow (structural break) | chow |
CUSUM (parameter stability) | cusum |
ARCH (conditional heteroskedasticity) | arch |
Normality of residual | testuhat |
Panel diagnostics | hausman |