Re: [Gretl-devel] GARCH with Exogenous Variables
On Mon, 1 Nov 2010, Henrique Andrade wrote:
Dear Developers,
I would like to make a feature request regarding ARCH and GARCH
modelling. Today we can estimate a variance equation like that:
h(t) = a0 + a1*e^2(t-1) + b*h(t-1)
But we can't do this:
h(t) = a0 + a1*e^2(t-1) + b*h(t-1) + c*dummy
I know I could perform this kind of estimation using commercial
econometric packages, but I would like to use Gretl most of the
time (I'm addicted to Gretl :)).
The gig package does that. I need to find some time to release an updated
version. Basically, I started the conversion from the "old" gig to a new
version which uses bundles internally, but it took much longer than
expected and then other priorities took over.
For the moment, you can use the old version. Download the tarball from
http://gretl.cvs.sourceforge.net/viewvc/gretl/gretl-addons/gig/?view=tar
and give it a go. Let me know if you need some more info.
Damn, do I need to find some time to work on gig! :-/
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti