Here is an unexpected feature I encountered in gig.  The model is ARCH(1) with a constant mean.<div><br></div><div>This script works:</div><div>&lt;&gt;</div><div><div># Using GIG</div><div>include gig.gfn</div><div>open djclose</div>
<div>model_arch = gig_setup(djclose,0,const)</div><div>gig_set_pq(&amp;model_arch,0,1)</div><div>gig_estimate(&amp;model_arch)</div><div>&lt;\&gt;</div><div><br></div><div>This may be by design, but I find it a little confusing. I would think that arch(1) might be a default if model=zero is chosen?   But, if you omit the gig_set_pq, which sets garch to zero and arch to 1, the script bombs.  I thought, mistakenly, that choosing model=0 in setup would not require setting pq via gig_set_pq.  Note, the following script, won&#39;t work:</div>
<div><br></div><div>&lt;&gt;</div><div><div># Using GIG</div><div>include gig.gfn</div><div>open djclose</div><div>model_arch = gig_setup(djclose,0,const)</div><div>gig_estimate(&amp;model_arch)</div></div><div>&lt;\&gt;</div>
<div><br></div><div>What do you think?</div><div><br></div>-- <br>Lee Adkins<br>Professor of Economics<br><a href="mailto:lee.adkins@okstate.edu">lee.adkins@okstate.edu</a><br><br><a href="http://learneconometrics.com">learneconometrics.com</a>
</div>