Gretl Manual: Gnu Regression, Econometrics and Time-series Library | ||
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Table 10-2 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 10.
Table 10-2. 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) |
Rank Correlation (spearman) | Correlation with ordinal data |
Pooled OLS ((pooled) | OLS estimation for pooled cross-section, time series data |
Table 10-3 shows the tests that are available under the Tests menu in a model window, after estimation.
Table 10-3. Tests for models
Test | Corresponding command |
---|---|
Omit variables (F-test if OLS) | omit |
Add variables (F-test if OLS) | add |
Nonlinearity (squares) | lmtest |
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 |
Some additional tests are available under the Variable menu in the main window: the augmented Dickey–Fuller test (command: adf) and the runs test of randomness (command: runs).