OPG inversion problem
by Dan Běsoň
Dear everybody,
I am trying to estimate an ARMA process using MLE and then to extend it by jointly estimating ARMA-GARCH. The following code
series in = log_ret*100
scalar mu = mean(in)
scalar h = var(in)
scalar c = 0.001
scalar phi1 = -0.9
scalar phi2 = -0.89
scalar phi3 = -0.47
scalar phi4 = -0.90
scalar phi5 = -0.45
scalar phi6 = -0.31
scalar phi7 = -0.14
scalar theta1 = 0.87
scalar theta2 = 0.81
scalar theta3 = 0.29
scalar theta4 = 0.82
scalar theta5 = 0.33
scalar theta6 = 0.17
mle ll=-0.5*(log(h) + (e^2)/h)
series e = in - mu
params c phi1 phi2 phi3 phi4 phi5 phi6 phi7 theta1 theta2 theta3 theta4 theta5 theta6
end mle --hessian
produces an "failed to invert OPG matrix GG" error regardless of whether I use --hessian. log_ret are daily logreturns of the FTSE index. What could be the problem? The initial values of phis and thetas are taken close to the real values estimated by the ARMA window. Any hint is much appreciated.
Daniel.
14 years, 11 months
unit root test
by Surya Dev
how do you choose optimal lag while carrying out ADF test in Gretl?
14 years, 11 months
Xlsx problem
by Henrique Andrade
Dear Gretl Developers,
I´m trying to open some .xlsx files and I´m getting the following error
messages:
? open "L:\CONFIDENCIAL\Planilha\Dados Países\Brasil\Mercado de
Crédito\Dados Crédito.xlsx" --sheet="Gretl2" --rowoffset=148
'Gretl2' -> worksheets/sheet12.xml
expected 403 shared strings but only found 397
Error executing script: halting
expected 403 shared strings but only found 397
Error executing script: halting
I think the error is related with the Excel file format because when I
convert to the old format (the .xls one) the error disappears.
Best regards,
Henrique Andrade*
*
14 years, 11 months
on variable labels
by artur bala
Dear Allin,
I'm importing some data from SPSS with a lot of value labels and I
wonder if it can be manageable for you to make gretl save/add/change the
value labels for dicrete/ordinal/categorical variables?
best,
artur
14 years, 11 months
how to reproduce Verbeek's Table 5.4 (one-step GMM)?
by Qi Shi
Dear all,
I want to reproduce Verbeek's Table 5.4, below is my scripts:
open pricing.gdt
set force_hc on
scalar delta=0.5
scalar gamma=0.5
series e0=delta*cons^(-gamma)*(1+rf)-1
series e1=delta*cons^(-gamma)*(rf-r1)
series e2=delta*cons^(-gamma)*(rf-r2)
series e3=delta*cons^(-gamma)*(rf-r3)
series e4=delta*cons^(-gamma)*(rf-r4)
series e5=delta*cons^(-gamma)*(rf-r5)
series e6=delta*cons^(-gamma)*(rf-r6)
series e7=delta*cons^(-gamma)*(rf-r7)
series e8=delta*cons^(-gamma)*(rf-r8)
series e9=delta*cons^(-gamma)*(rf-r9)
series e10=delta*cons^(-gamma)*(rf-r10)
list xlist=e0 e1 e2 e3 e4 e5 e6 e7 e8 e9 e10
matrix V0=I(11)
gmm list e=xlist
orthog e; const
weights V0
params delta gamma
end gmm
what is the problem? Who can tell me? Thanks
--
shi, qi
14 years, 11 months
missing value functions for matrices
by Annaert Jan
Is there a reason why functions like missing, misszero and zeromiss are not available for matrices? The ok function does seem to work with matrices (in contrast to the function reference).
Jan Annaert
14 years, 11 months
Button Install for functions in gretl 1.9.6
by Giuseppe Vittucci
Dear all,
I do not know if the problem has been already solved.
I have recently used gretl 1.9.6 on Windows Vista.
On a fresh installation, the button Install on the left-top corner of
the window in File -> Function files -> On server.. does not work and
returns an error message (File not found).
All works instead by right-clicking on the file and using the option
Install in the menu.
Bye
Giuseppe
14 years, 11 months
Problemas en Gretl 1.9.6
by Hebert Suárez Cahuana
Estimados todos:
Parece que algo anda mal con la versión 1.9.6, utilizo linux ubuntu, le doy
./configure make make check y se instala pero ahora no puede abrir ningún
archivo, no se puede hacer nada porque el programa se cierra
automáticamente y aparece en la consola el mensaje siguiente: Ilegal
instruccion
Quiero regresar a la versión 1.9.5 que si estaba bien pero no se como
hacerlo.
Saludos
Hebert Suarez Cahuana
Perú
--
Atentamente:
Hebert Suárez Cahuana
Departamento Académico de Economía
Escuela Profesional de Economía
Universidad Nacional de San Agustín
Av. Venezuela S/N Cercado
www.unsa.edu.pe
Arequipa-Peru
Telefono 51 54 215105
E-mail: hsuarezc(a)unsa.edu.pe
"NO PREGUNTES QUE PUEDE HACER TU PAÍS POR TI, SINO PREGUNTA QUE PUEDES
HACER TU POR TU PAÍS" John Kennedy Presidente de los Estados Unidos
14 years, 11 months
