Problem with convergence of ARMA and GARCH models
by Blaise Roncagli
I am a new user to Gretl, and am using version 1.2.9. I have noticed
that frequently when I attempt to run an ARMA or GARCH model I get a
message "Convergence Criteria not met". I know what this means, but it
seems to happen frequently with data sets that do not experience this
problem when I use them in "R" or other packages. Is this a known
problem, or is there some parameter I need to adjust to make this go
away?
21 years
- 4
- 7
Heteroskedasticity test
by Ignacio Díaz-Emparanza
Allin,
I have been building some examples about heteroskedasticity data with gretl.
I had two variables whose linear relationship had hetero. and so I regressed
y on x using 1/sqrt(x) as weigths. Then, I suspected that the residuals were
heteroskedastic yet, so I tried to do some testing on them.
Firstly, I cannot do a LM test on the WLS regression (¿Why not? umm I have to
think a while about it ... I know that the regressor now is xt*wt, and so
the test may have a different interpretation, but ... may have any sense in
this case, ¿or not?).
Secondly, as I did not have the test, I saved the WLS residuals an regressed
them over a constant (by OLS), so I had a window model, and the
heteroskedasticity test was active in the corresponding menu. I selected this
and ... gretl exited!!, and saving anything. In fact I have seen that
regressing any variable over a constant, the same occurs. I understand that
the Hetero. test runs a regression of the residuals over the regressors and
their squares, and so in this case there were no regressors, but I think
Gretl should act in another form. For example in this case gretl may ask for
a variable, or use the index ...
--
Ignacio Díaz-Emparanza
Dpto. de Economía Aplicada III (Econometría y Estadística)
UPV-EHU
http://www.bl.ehu.es/~etpdihei/
21 years
- 2
- 2
gretl compilation problem
by Jean Magnan de Bornier
Hello
There seems to be some problem with my inscription on this list, since i
could send this message yesterday but did not receive the answer. I
looked at the archives to find out I had this answer; so sorry for
writing back so late.
So if someone care to answer this post, please include my address as Gcc
Allin Cottrell:
On Mon, 11 Oct 2004 jean.magnanb at univ.u-3mrs.fr wrote:
> My computer is a linux-gentoo machine, there is no specific gretl package
> in gentoo, so i try to build from source; configure is ok, but when I
> issue "make" I get the following error:
> .......
> gcc -o .libs/gretlcli gretlcli.o complete.o \
../lib/.libs/libgretl-1.0.so -ldl -L/usr/local/lib \
/usr/lib/libxml2.so -lpthread -lz -lm \
/usr/lib/libglib-2.0.so -lreadline -lcurses
> ../lib/.libs/libgretl-1.0.so: undefined reference to `dasum_'
> ../lib/.libs/libgretl-1.0.so: undefined reference to `dtrmm_'
>
> Being no guru I wonder what happens with "cli"
These are fortran-related references that are undefined. Somehow
you're missing a link to libf2c (and probably lapack too). Can you
take a look at your config.log, and see what it says after "checking
for LAPACK"? You could also look for the line starting
"LAPACK_LIBS =" in the Makefile in the lib directory, and see what
it says.
Well, what I did with LAPACK_LIBS is I had to define it for the
./configure to happen, it was apparently no where expected:
"LAPACK_LIBS =/usr/lib/liblapack.a ./configure", and then configure
happened all right.
Maybe I should say the same for make?
Thank for any hint,
--
Jean Magnan de Bornier
Faculté d'Économie Appliquée
Université Paul Cézanne et GREQAM
15-19 Allée Claude Forbin
13627 Aix-en-Provence cedex 1 France
http://junon.u-3mrs.fr/afa10w40
21 years
- 1
- 0
gretl compilation fails
by jean.magnanb＠univ.u-3mrs.fr
Hello all on gretl users list,
My computer is a linux-gentoo machine, there is no specific gretl package
in gentoo, so i try to build from source; configure is ok, but when I
issue "make" I get the following error:
.......
gcc -g -O2 -I.. -I.. -I../lib/src -DLOCALEDIR=\"/usr/local/share/locale\" -DHAVE_CONFIG_H -MM gretlcli.c > .deps/gretlcli.d
gcc -c -g -O2 -I.. -I.. -I../lib/src -DLOCALEDIR=\"/usr/local/share/locale\" -DHAVE_CONFIG_H complete.c
gcc -g -O2 -I.. -I.. -I../lib/src -DLOCALEDIR=\"/usr/local/share/locale\" -DHAVE_CONFIG_H -MM complete.c > .deps/complete.d
../libtool --mode=link gcc -o gretlcli gretlcli.o complete.o ../lib/libgretl-1.0.la -lreadline -lcurses
mkdir .libs
gcc -o .libs/gretlcli gretlcli.o complete.o ../lib/.libs/libgretl-1.0.so -ldl -L/usr/local/lib /usr/lib/libxml2.so -lpthread -lz -lm /usr/lib/libglib-2.0.so -lreadline -lcurses
../lib/.libs/libgretl-1.0.so: undefined reference to `dasum_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dtrmm_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dscal_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dgemv_'
../lib/.libs/libgretl-1.0.so: undefined reference to `drot_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dswap_'
../lib/.libs/libgretl-1.0.so: undefined reference to `e_wsfe'
../lib/.libs/libgretl-1.0.so: undefined reference to `dsyr2_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dsymv_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dcopy_'
../lib/.libs/libgretl-1.0.so: undefined reference to `s_cmp'
../lib/.libs/libgretl-1.0.so: undefined reference to `ddot_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dgemm_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dtrsm_'
../lib/.libs/libgretl-1.0.so: undefined reference to `do_fio'
../lib/.libs/libgretl-1.0.so: undefined reference to `dsyr2k_'
../lib/.libs/libgretl-1.0.so: undefined reference to `s_cat'
../lib/.libs/libgretl-1.0.so: undefined reference to `dsyrk_'
../lib/.libs/libgretl-1.0.so: undefined reference to `s_stop'
../lib/.libs/libgretl-1.0.so: undefined reference to `idamax_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dger_'
../lib/.libs/libgretl-1.0.so: undefined reference to `daxpy_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dnrm2_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dtrsv_'
../lib/.libs/libgretl-1.0.so: undefined reference to `dtrmv_'
../lib/.libs/libgretl-1.0.so: undefined reference to `s_wsfe'
../lib/.libs/libgretl-1.0.so: undefined reference to `s_copy'
collect2: ld returned 1 exit status
make[1]: *** [gretlcli] Erreur 1
make[1]: Leaving directory `/home/jean/gretl-1.2.9/cli'
make: *** [cli] Erreur 2
Being no guru I wonder what happens with "cli"
If anybody has a clue,
tia!
--
Jean Magnan de Bornier
GREQAM et Université Paul Cézanne à Aix-Marseille
15-19 Allée Claude Forbin
13627 Aix-en-Provence Cedex 1 FRANCE
email: jean.magnanb-at-univ.u-3mrs.fr
21 years
- 2
- 1
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