On Thu, 11 Mar 2010, [iso-8859-1] Peter Blömeke wrote:
> Thank you Allin for the code. After running the code the output looks like
> this now:
>
> gretl version 1.8.7
> Current session: 2010-03-11 21:09
> ? scalar numofunits = max($unit)
> Generated scalar numofunits = 612
> ? matrix betas = {}
> Generated matrix betas
> ? loop for i=1..numofunits
> > smpl $unit=i --restrict
> > ols Aktie const Leitregion CDAX --quiet
> > b1 = $coeff[2]
> > b2 = $coeff[3]
> > betas |= { b1, b2 }
> > smpl full
> > endloop
> loop: i = 1
>
> ? smpl $unit=i --restrict
> Full data set: 110160 observations
> Current sample: 180 observations
> ? ols Aktie const Leitregion CDAX --quiet
> ? b1 = $coeff[2]
> ? b2 = $coeff[3]
> ? betas |= { b1, b2 }
> ? smpl --full
> Full data range: 1:001 - 612:180 (n = 110160)
>
> loop: i = 2
> ...
>
> loop: i = 16
>
> ? smpl $unit=i --restrict
> Full data set: 110160 observations
> Current sample: 180 observations
> ? ols Aktie const Leitregion CDAX --quiet
> Missing values encountered
> >> ols Aktie const Leitregion CDAX --quiet
>
> Unfortunately it stops here and I don't know why. Is it a problem with
> missing values? Does Gretl has to know somehow how to work with missing
> values?
Gretl can generally handle missing observations fine. I suspect
there's a serious hole in the dataset -- something like all
observations missing for Aktie for unit 16? Using current CVS
gretl you could do:
catch ols Aktie const Leitregion CDAX --quiet
if $error
printf "error running OLS for unit %d\n", i
else
b1 = $coeff[2]
b2 = $coeff[3]
betas |= { $i, b1, b2 }
endif
The first column of betas would hold the unit number for units
where the regression was successful.
Allin Cottrell
