Re: [Gretl-users] 1.9.4 source not found!
by Allin Cottrell
On Thu, 24 Feb 2011, Bob McCall wrote:
> The Gretl page has a link to gretl-1.9.4.tar.bz2 but the link takes you to a
> windows download
> for 1.9.3.
> What is the latest source version available (not cvs) ?
Oops, that must have been a typo when I was updating some html
docs. But as it happens gretl 1.9.4 is just in the release process
and will be on the site very shortly.
Allin Cottrell
13 years, 7 months
Re: [Gretl-users] 1.9.4 source not found!
by Allin Cottrell
On Thu, 24 Feb 2011, Allin Cottrell wrote:
> On Thu, 24 Feb 2011, Bob McCall wrote:
>
> > The Gretl page has a link to gretl-1.9.4.tar.bz2 but the link takes you to a
> > windows download
> > for 1.9.3.
> > What is the latest source version available (not cvs) ?
>
> Oops, that must have been a typo when I was updating some html
> docs. But as it happens gretl 1.9.4 is just in the release process
> and will be on the site very shortly.
It's now there.
Allin Cottrell
13 years, 7 months
1.9.4 source not found!
by Bob McCall
The Gretl page has a link to gretl-1.9.4.tar.bz2 but the link takes you to a
windows download
for 1.9.3.
What is the latest source version available (not cvs) ?
thanks,
Bob
13 years, 7 months
Re: [Gretl-users] Bug in Test statistic calculator for the variance
by Allin Cottrell
On Sat, 19 Feb 2011, Leon Unger wrote:
> I found a (small) bug in the test statistic calculator (performed vie
> the GUI) [...]
(The distribution graph fails for the one-variance test, plus an
invalid p-value is given when the sample variance equals the
variance according to H0.)
Thanks, that's now fixed in CVS and snapshots.
Allin Cottrell
13 years, 7 months
Bug in Test statistic calculator for the variance
by Leon Unger
Hi there,
I found a (small) bug in the test statistic calculator (performed vie
the GUI):
I did the following test on the variance and after 'OK' an error window
came up:
Error: gnuplot command failed
and the output is:
Null hypothesis: population
variance = 2
Sample size: n = 200
Sample variance = 2
Test statistic: chi-square(199)
= 199 * 2/2 = 199
Two-tailed p-value = *1.027
* (one-tailed = 0.5133)
So, no graph and a p-Value bigger than one.
I'm using the snapshop of gretl with Windows 7.
Best
Pindar
13 years, 7 months
Estimation of a GARCH process with conditional skewness and kurtosis
by Johannes Lips
Hi,
I am trying to implement a GARCH method which explicitely models the
kurtosis and skewness.
A short summary could be found here:
http://hannes.fedorapeople.org/leon2005.pdf
What I got so far is the following:
open /usr/share/gretl/data/misc/djclose.gdt
series y=100*ldiff(djclose)
scalar mu=0.0
scalar beta0=1
scalar beta1=0.4
scalar beta2=0.0
scalar beta3=0.0
scalar gamma0=0.0
scalar gamma1=0.0
scalar gamma2=0.0
scalar delta0=0.0
scalar delta1=0.0
scalar delta2=0.0
mle ll= -0.5*(log(h) - 0.5*(eta)^2 +
log(1+(sk/6)*(eta^3-3*eta)+((ku-3)/24)*(eta^4-6*eta^2+3))^2-log(1+((sk^2)/6)+(ku-3)^2/24))
series e=y-mu
series h=var(y)
series eta=e/sqrt(abs(h))
series sk = (((y - mu)^3) / nobs(y))/ sd(y)^3
series ku = ((((y - mu)^4) / nobs(y))/ sd(y)^4) - 3
series h= beta0+beta1*(e(-1)+ beta3*sqrt(h(-1)))^2+beta2*h(-1)
series sk=gamma0 + gamma1*(eta(-1))^3 + gamma2*sk(-1)
series ku=delta0 + delta1*(eta(-1))^4 + delta2*ku(-1)
params mu beta0 beta1 beta2 beta3 gamma0 gamma1 gamma2 delta0 delta1 delta2
end mle
Not sure if everything is right because the execution fails with the
message 'Missing values encountered'.
I don't really know what's wrong or if my approach is correct.
Thanks for any help!
13 years, 7 months
Time Varying Parameters Model
by Henrique Andrade
Dear Gretl Community,
I trying to estimate a time-varying parameter model (TVP) using the Kalman
filter but I'm getting no success :( The model is a TVP Phillips curve for
Brazilian inflation augmented with the trade openness (my sample has 103
observations):
inf_f = b1(t)*inf(-1) + b2(t)*exp12m + b3(t)*gap(-1) + b4(t)*trade(-1) +
w(t)
b1(t) = b1(t-1) + v1(t)
b2(t) = b2(t-1) + v2(t)
b3(t) = b3(t-1) + v3(t)
b4(t) = b4(t-1) + v4(t)
Where:
inf_f - non monitored prices
exp12m - 12 month expected inflation
gap - output gap
trade - trade openness
Based upon equations (26.1) and (26.2) from the Gretl User's Guide (p. 216)
I'm trying to setup the filter. Please take a look at the following
commands:
list regressors = inf exp12m gap trade
matrix y = {inf_f} # Matrix order:(Txn)=(103x1)
matrix H = *?* # Matrix order:(rxn)=(4x1)
matrix x = {regressors} # Matrix order:(Txk)=(103x4)
matrix F = I(4) # Matrix order:(rxr)=(4x4)
matrix Q = *?* # Matrix order:(rxr)=(4x4)
How can I define H and Q?
Best,
--
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
13 years, 7 months
var in differences
by Remigijus Lapinskas
Dear All,
I have a VAR model in differences. How can I forecast levels in gretl?
Best regards,
Remigijus
13 years, 7 months
Time varying Kalman filter
by Ivan.Petrov＠mecglobal.com
Hi,
I'm trying to estimate parameters in the model:
y_t = y_{t-1}*u_{t}*lambda+N(0,sigma^2)
using Kalman filter. Where u{t} is t-th coordinate of the vector gathered
from my data.
I use next space state model:
eps_{t+1} = u{t} * lamba*eps_t + N(0,sigma^2)
y_t = 1 * eps_t + N (0, sigma2^2)
I wrote the script to estimate parameters using mle, but it alway gives
errors because mle can't find my vector U:
function void modify_F (matrix *F, scalar lambda, series *u, scalar t)
F[1,1]=lambda*u[t+1]
end function
kalman
obsy y
obsymat H
obsvar R
statemat F; modify_F(&F, lambda, &u, $kalman_t)
statevar Q
end kalman
mle logl = ERR ? NA : $kalman_llt
Q[1,1]=sigma^2
R[1,1]=sigma1^2
ERR=kfilter()
params sigma, lambda, sigma1
end mle --verbose --lbfgs
Is there any way how can I solve this problem?
Thanks,
Petrov Ivan
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13 years, 7 months
Re: [Gretl-users] error message
by Allin Cottrell
On Mon, 14 Feb 2011, Data Analytics Corp. wrote:
> I teach an econometrics course at Rutgers and use Gretl for lab
> assignments. One student is having a problem. He created a data set in
> Gretl but when he tried to plot two series (real GDP and the S&P500), he
> got this error message:
>
> "D:\gretl\wgnuplot.exe"
> "C:\Users\Cem's\AppData\Roaming\gretl\gpttmp.f06928": exit code 1"
As Helio said, the problem is probably with the apostrophe in the
path. But I thought we'd fixed that some time ago. What version of
gretl is the student running?
Allin Cottrell
13 years, 7 months
