2010/5/3 Allin Cottrell <cottrell(a)wfu.edu>: > > On Wed, 28 Apr 2010, denis joubert wrote: > >> Using libgretl 1.8.7, with heteroscedacity function, i got the error : >> "Weight variable is all zeros, aborting regression" >> but when i add one observations it works or some observations added later it >> does the same error, more observations later same it works and >> so on... > > The test libgretl was using for "weights all zero" was not really > appropriate: it was that the sum of squares of the weight series > equals machine zero. I've now modified this in CVS and your > example runs. (The weights are extremely small, but not literally > zero.)
thanks, i will get the cvs version :) > > However, the example is rather odd and this may explain gretl's > complaints. The auxiliary regression for hsk estimation produces a > perfect fit with the original dataset (T = 226), since you have > 151 usable observations and 151 regressors (75 lags, 75 squares of > lags, plus constant). Adding another observation gives one degree > of freedom to the auxiliary regression, which seems to help > matters. the 151 observations with 151 regressors is only an example of the problem i got, with 210 observations or more i got the same problem (I added 1 observations at a time, and more I add observations more the problem shows up) does it mean i don't need to use hsk and should use only the auxiliary regression function in order to predict next values ? > > Allin Cottrell > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users >
