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
12 years, 1 month
skewness and kurtosis
by Annaert Jan
I know there are functions to compute the mean, median, minimum, maximum and standard deviation for a series. I also know that using the summary command, skewness and excess-kurtosis are also computed. Is there an easy way to capture these last two statistics (I need them for further processing)? Of course, I could write a short function to do this, but as they are already available in Gretl in the summary command…
Thanks,
Jan Annaert
UNIVERSITEITANTWERPEN | Faculty of Applied Economics (TEW) | Dept. Accounting & Finance
Room S.B.335 | Prinsstraat 13 | B-2000 Antwerp | Belgium
Phone +32 32654163 |Fax +32 32654064
13 years, 1 month
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
13 years, 4 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,
13 years, 5 months
menu after applying restrictions (a suggestion)
by Javier García
Ok, Fran, a lot of thanks!
But in any case I think that it would be better to implement a menu in the
window of the restricted model, because sometimes the models are very
complicated (think, for example, about the case I am working with: a system
of cost functions, with about 10 restrictions among different parameters)
and I dont see you suggestion very operative for that cases.
Javier
If you make the substitutions
Y3 = Y- X3
X13 = X1-X3
X23 = X2-X3
\
and run the regression of Y3 on X13, X23 and other variables you get
confidence intervals for the coefficients on X1 and X2. You can then
estimate the coeficient on X3 as 1-X1-X2 and can estimate its standard error
manually. Alternatively you could make a second transformation
Y1 = Y - X1
X21 = X2 - X1
X31 = X3-X1
and run a similar regression and get the same answers as previously but
without any calculations
Please forgive this notation which is using for coefficients and variables.
I hope that it does not cause confusion
Regards
John
2011/5/30 Javier García <
<http://lists.wfu.edu/mailman/listinfo/gretl-users> javigarcia83 at
yahoo.es>
> The problem is that I have more than one restriction (and not very easy to
> implement). Besides, if I have for example X1, X2 and X3 and I want to
> introduce the restriction X1+X2+X3=1 then, how I can recover the
> coeffcient/s that doesn't appear in the restricted model??? I would have
to
> obtain them "manually"...
>
> Best
> Javi
13 years, 6 months
Ralph M Rodriguez/PO/KAIPERM is out of the office.
by Ralph.M.Rodriguez＠kp.org
I will be out of the office starting 05/31/2011 and will not return until
06/02/2011.
Hi All, I will be out of the office on PTO from May 31until Jun 1,returning
to the office June 2. I will be on PTO away from Oakland, CA.
Please, if you have an immediate concern regarding Cost Model or
Construction Economics, please email or contact Bradley A Njus, 510 625
4595. I will return a response as soon as possible. My work cell phone is
510 435 6528.
Best Regards,
Ralph
13 years, 6 months
Re: [Gretl-users] R: Rolling parameter estimate
by Allin Cottrell
On Thu, 26 May 2011, Oscar Soppelsa wrote:
> Thank Artur and Riccardo very much for your answer! I've two question now:
>
> 1. could you explain me the syntax about the selection of the sample's
> dimension? What does this mean? ---> i=1982:1..1987:3
One standard form of loop in gretl uses the construction
loop i=1..10
which should be self-explanatory (but is also explained in the
manual). The variant above uses the convenience functionality of
representing integer observations numbers as dates (in this case,
quarterly dates).
> 2. After the rolling parameters estimation, how can I print on the monitor a
> vertical array whose elements are coefficients, std. errors, z, p-values
> etc.? I would need to export this array in Excel, for example.
Regression coefficients and standard errors are accessible in
matrix form as $coeff and $stderr, after estimating a model.
z-scores and p-values can easily be computed -- see the pvalue()
function. Matrices can be concatenated and reshaped at will, see
the chapter on matrices in the User's Guide. They can also be
printed in whatever form is appropriate - see the "printf"
command.
Allin Cottrell
13 years, 6 months
Re: [Gretl-users] Placing fcast in an empty array
by Allin Cottrell
On Tue, 31 May 2011, Oscar Soppelsa wrote:
> I was wondering if it is possible to create an empty series (like a column
> array), estimate a model, then run a fcast on the sample and. make the empty
> array including the forecasted values.
The command
fcast startobs endobs fcname
produce a series named "fcname" containing the forecast values,
as described in the Help for "fcast".
Allin Cottrell
13 years, 6 months
Placing fcast in an empty array
by Oscar Soppelsa
Hi all!
I was wondering if it is possible to create an empty series (like a column
array), estimate a model, then run a fcast on the sample and. make the empty
array including the forecasted values. Something like this:
series Forecast = NA
smpl 1 1000
logit Y 0 X --p-values
fcast 1 1000
Forecast = fcast ?
How can I create the forecast array in order to generate a new time series
under Y and X which contains the forecasted values?
I have another question directly linked to the first one: is it possible to
use fcast in a rolling sample? Something like this:
smpl 1 200
loop for i = 1 1000
logit Y 0 X --p-values
fcast 1+i 200+i ?
smpl +1 +1
endloop
Is there anyone who can help me? Reading the manual I discovered that the
--rolling option for fcast is only available with OLS estimate, but with a
lot of model (Logit for example, or correlated uhat models) we usually use
MLE.
Thank you so much!
Oscar
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13 years, 6 months
