Gretl Manual: Gnu Regression, Econometrics and Time-series Library
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# Estimators and tests: summary

Table 13-2 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 13.

Table 13-2. 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
Prais–Winsten (`pwe`) | First-order autocorrelation
Autoregressive Estimation (`ar`) | Higher-order autocorrelation (generalized Cochrane–Orcutt)
ARMAX (`arma`) | Time-series model with ARMA error
GARCH (`garch`) | Generalized Autoregressive Conditional Heteroskedasticity
Vector Autoregression (`var`) | Systems of time-series equations
Cointegration test (`coint`) | Long-run relationships between series
Two-Stage Least Squares (`tsls`) | Simultaneous equations
Nonlinear Least Squares (`nls`) | Nonlinear models
Logit (`logit`) | Binary dependent variable (logistic distribution)
Probit (`probit`) | Binary dependent variable (normal distribution)
Tobit (`tobit`) | Truncated dependent variable
Logistic (`logistic`) | OLS, with logistic transformation of dependent variable
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 13-3 shows the tests that are available under the Tests menu in a model window, after estimation.

Table 13-3. Tests for models

Test | Corresponding command
--- | ---
Omit variables (F-test if OLS) | `omit`
Add variables (F-test if OLS) | `add`
Sum of coefficients (t-test if OLS) | `coeffsum`
Nonlinearity (squares) | `lmtest --squares`
Nonlinearity (logs) | `lmtest --logs`
Nonlinearity (Ramsey's RESET) | `reset`
Heteroskedasticity (White's test) | `lmtest --white`
Influential observations | `leverage`
Autocorrelation up to the data frequency | `lmtest --autocorr`
Chow (structural break) | `chow`
CUSUM (parameter stability) | `cusum`
ARCH (conditional heteroskedasticity) | `arch`
Normality of residual | `testuhat`
Panel diagnostics | `hausman`

Table 13-4 shows the correspondence between the long-form option flags used in the command reference above and the short versions.

Table 13-4. Long- and short-form options

Command | Option | Effect | Short form
--- | --- | --- | ---
`arma` | `--x-12-arima` | estimate with X-12-ARIMA | `-x`
| `--verbose` | print iteration details | `-v`
`coint2` | `--verbose` | print details of VARs | `-v`
`eqnprint, tabprint` | `--complete` | complete TeX document | `-o`
`fcasterr` | `--plot` | show graph | `-o`
`gnuplot` | `--with-lines` | plot with lines | `-o`
| `--with-impulses` | plot with impulses | `-m`
| `--suppress-fitted` | don't show fitted line | `-s`
| `--dummy` | factor separation | `-z`
`import` | `--box1` | import BOX1 data | `-o`
`leverage` | `--save` | save values to dataset | `-s`
`lmtest` | `--logs` | non-linearity (logs) | `-l`
| `--squares` | non-linearity (squares) | `-s`
| `--white` | White's test (heteroskedasticity) | `-w`
| `--autocorr` | serial correlation | `-m`
`meantest` | `--unequal-vars` | assume unequal variances | `-o`
`leverage` | `--save` | save values to dataset | `-s`
`ols` | `--robust` | robust standard errors | `-r`
| `--vcv` | print covariance matrix | `-o`
| `--quiet` | don't print results | `-q`
`outfile` | `--write` | open file for writing | `-w`
| `--append` | append to existing file | `-a`
| `--close` | close file | `-c`
`panel` | `--time-series` | stacked time series | `-s`
| `--cross-section` | stacked cross-sections | `-c`
`pca` | `--save` | save useful eigenvectors | `-s`
| `--save-all` | save all eigenvectors | `-a`
`pergm` | `--bartlett` | use Bartlett lag window | `-o`
`plot` | `--one-scale` | don't scale variables | `-o`
`print` | `--byobs` | variables in columns | `-o`
| `--ten` | use 10 significant figures | `-t`
`smpl` | `--dummy` | restrict using dummy var | `-o`
| `--no-missing` | only complete observations | `-m`
| `--restrict` | use boolean criterion | `-r`
`spearman` | `--verbose` | print original, ranked data | `-o`
`square` | `--cross` | generate cross-products | `-o`
`store` | `--csv` | comma-separated values | `-c`
| `--traditional` | traditional ESL format | `-t`
| `--gnu-octave` | GNU Octave format | `-m`
| `--gnu-R` | GNU R format | `-r`
| `--gzipped` | gzip compression | `-z`
`var` | `--quiet` | don't print all results | `-q`
Model commands | `--vcv` | print covariance matrix | `-o`

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