Re: [Gretl-users] GARCH, Forecasting
by Allin Cottrell
On Mon, 17 Jan 2011, [ISO-8859-1] Alejandro Mosi�o wrote:
> Maybe i was not too much specific last time:
>
> I have a variable "y" that follows a GARCH(1,1) process. Then, i Gretl i
> type:
>
> garch 1 1 ; y const
>
> Then i got the result and forecasting the out-of-sample values of y can
> be done in the usual way. However, i'm interested in forecasting the
> out-of-sample variance. I don't know if such a function exists in Gretl.
There is no built-in function to do this, but you can compute a
one-step ahead forecast of the variance from the model data, as
hown in the following example script.
<script>
open b-g.gdt
garch 1 1 ; Y
series e = $uhat
series h = $h
dataset addobs 10
a0 = $coeff[2]
a1 = $coeff[3]
b1 = $coeff[4]
series hfc = h
# set future errors to their expectation
e = misszero(e)
# forecast the variance
hfc = a0 + a1 * e(-1)^2 + b1 * hfc(-1)
smpl 1970 ;
print e h hfc --byobs
</script>
Allin Cottrell
13 years, 5 months
Fixed effects forecast
by Ricardo Gonçalves Silva
Hi,
Can Gretl forecast 1 to 3 periods ahead an estimated panel data(fixed-effects with no iterations) model?
HTH
RIck
14 years, 8 months
Help with GIG package
by cociuba
Deal Gretl Community,
I am trying to replicate the examples in Principles of
Econometrics,pg.373, BYD example, using Garch in Gretl (GIG). I was able
to reproduce those result with Lee Adkins scripts but I cant do the same
using GIG.
My questions are:
- what I'm suppose to put in mean and variance regressors list to obtain
the following models:
TGARCG(1,1) and Garch in Mean.
- are there any other manual or examples using GIG gui beside those
found on Ricardo Lucchetti's home page.
Thank you for your help.
Mihai Cociuba, PhD Student, Babes-Bolyai University.
On 03/07/2011 07:00 PM, gretl-users-request(a)lists.wfu.edu wrote:
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> Today's Topics:
>
> 1. Odd Behavior with Saving Data, Sessions, and Scripts
> (Henrique Andrade)
> 2. Re: Help on simultaneo?us equation model (Allin Cottrell)
> 3. Help on simultaneous?us equation model (Lemma Tenessa)
> 4. Re: Odd Behavior with Saving Data, Sessions, and Scripts
> (Allin Cottrell)
> 5. Re: Help on simultaneous?us equation model (Allin Cottrell)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 6 Mar 2011 23:37:53 -0300
> From: Henrique Andrade<henrique.coelho(a)gmail.com>
> Subject: [Gretl-users] Odd Behavior with Saving Data, Sessions, and
> Scripts
> To: "Gretl Discussion List (users)"<gretl-users(a)lists.wfu.edu>
> Message-ID:
> <AANLkTi=1gy01iMrkbBb7=+YMr-Hih5=SQFi7aPk0ZA9J(a)mail.gmail.com>
> Content-Type: text/plain; charset="iso-8859-1"
>
> Dear Gretl Community,
>
> When I try to save data (or session, or script) files with dots in the
> names, using the GUI, Gretl assumes that all the comes after that point is
> an extension name. Suppose I have to create three files with names that help
> me to associate them with Chapter 2.5 of my book:
>
> Data Chapter 2.5
> Session Chapter 2.5
> Script Chapter 2.5
>
> I all the examples above Gretl creates the respective file with the
> extension ".5", instead of ".gdt", ".gretl", and ".inp", respectively.
>
> Is this the intended behavior?
>
> Um abra?o,
14 years, 9 months
Re: [Gretl-users] scatter plot with non-binary factor separation
by Allin Cottrell
On Fri, 29 Apr 2011, Ignacio Diaz-Emparanza wrote:
> El 28/04/11 19:36, Ferenci Tamas escribió:
> > Hello all,
> >
> > First of all: thank you Allin! It works perfectly, exactly that I was
> > thinking of. I can even edit the plot gretl-stlye after running the
> > script, very nice. (And I'm also a bit relieved that not I was missing
> > a GUI feature for this...) By the way, I really appreciate the way you
> > help everyone on this list, thank you again!
> >
> > Just out of curiosity: what is the rationale behind limiting the GUI
> > to binary variables? Enabling the usage of any discrete variable
> > would in no way alter the possibility of still using a binary variable
> > (it would be a fully "backward compatible" change, so to say), and it
> > also doesn't seem to be too complicated...
>
> I am using Allin's script as well, for a cross-section model and a
> discrete variable with three categories. I also vote for extending the
> "XY with factor separation" plot to allow for more categories, of course
> when our dear developers have time and are bored (no high priority).
OK, now in CVS and snapshots you can use any discrete variable,
not just a 0/1 dummy, with gnuplot and the --dummy option.
In the same line of business I've added a --factorized option for
the boxplot command, and enhanced the GUI boxplot options (e.g.,
on right-clicking a variable and selecting Boxplot).
Allin
14 years, 11 months
Johansen question
by Talha Yalta
Hi all,
I am currently revising a paper and I hope you could help me with a
small question that is not really gretl specific.
I want to add a table which will show Johansen tests can give
different results in small samples when different parameters are used.
In the table, I just use the trace test results (since this is just to
prove a point) and choose lags 1, 2, and 3. I also use the default
case as well as the --ct option. This results in 6 combinations.
Here is how I proceed:
For a bivariate case, if the trace test rejects c=0 and does not
reject c=1, I report c=1. If it is the other way around, then I report
c=0 as the test result.
As you know, sometimes the results can be contradictory so that c=0
and c=1 are rejected (or not rejected) simultaneously.
My question is that would it be OK to report "inconclusive" in those
cases? Or am I expected to follow another further procedure?
Any help and possible further suggestions are very much appreciated.
By the way, I think it could be useful if we had another gretl mailing
list for general econometrics discussions.
Cheers
Talha
--
“An expert is a person who has made all the mistakes that can be made
in a very narrow field.” - Niels Bohr (1885-1962)
--
15 years
Ralph M Rodriguez/PO/KAIPERM is out of the office.
by Ralph.M.Rodriguez＠kp.org
I will be out of the office starting 04/29/2011 and will not return until
05/04/2011.
Hi All, I will be out of the office on PTO on May 2 and 3,returning to the
office May 4.
Please, if you have an immediate concern regarding Cost Model or
Construction Economics, please email or contact Bradley A Njus, 510 625
4595, or email me with your questions.
Best Regards,
Ralph
15 years
Re: [Gretl-users] scatter plot with non-binary factor separation
by Allin Cottrell
On Fri, 29 Apr 2011, Riccardo (Jack) Lucchetti wrote:
> On Fri, 29 Apr 2011, Allin Cottrell wrote:
>
> > In the same line of business I've added a --factorized option for
> > the boxplot command, and enhanced the GUI boxplot options (e.g.,
> > on right-clicking a variable and selecting Boxplot).
>
> The other day I spent more or less 3 hours trying to implement this very
> same thing (and gave up eventually). Not only you're an incredible coder,
> you've also become a mind-reader. Scary.
Thanks, I think ;-). But I realise that boxplot --factorized needs
some more work: its output is not as elegant as the boxplot
function you put together a couple of years back. Hopefully we'll
get there soon, but in the meantime I have some exams to set and
mark...
Allin
15 years
Gretl crashes under Ubuntu 11.04
by Hugo Cohan
SOLVED!
Thank you all!
I separated the request for updating most files from installing libgretl1.dev . Synaptic now delivered no messages and everything is in the newest version.
15 years
Gretl crashes under Ubuntu 11.04
by Hugo Cohan
Not solved.
Thank you for the suggestions. Synaptic in Natty now does acknowledge the newest Gretl version. However, refuses to update, with the following message
GPG error: http://ftp.us.debian.org sid
InRelease: The following signatures couldn't be verified because the
public key is not available: NO_PUBKEY AED4B06F473041FA
15 years
