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! :-/

On Mon, 1 Nov 2010, Henrique Andrade wrote: Dear Riccardo, > > I'm trying the following command (with daily data): > > include gig.gfn > list X = const l_crb l_cds l_camb_us l_difjur > list Z = const dummy_iof > matrix results = garchTFit(l_camb,1,1,X,Z) > gig_print(results) > > And I'm getting these results: > > Model: GARCH(1,1) [Bollerslev] (Student's t) > Sample size: 1148 observations, VCV method: Robust > > ************************************************* > * ESTIMATION FAILED (Sorry!) * > * Error code = 33 * > ************************************************* > > What does "Error code = 33" mean? > BFGS failed to find a maximum. Yeah, I know. Error messages is one of the things to do. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel