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
10 years, 10 months
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
11 years, 11 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
12 years, 1 month
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,
12 years, 2 months
Impulse responses, when working from a script
by amaryl
Dear all,
I have two and a half questions regarding impulse responses, when the
VAR is executed from a script.
First, is there a possibility to access the numerical values of the
impulse responses directly (the values that are printed when the
--impulse-response flag is set)? I would like to have them as a matrix
or something for further processing.
Incidentally, is there a possibility to print the numerical values of
the bootstrap confidence intervals?
Second, how can I access the "graph generator" for impulse responses,
which is in the menu of the model window of a VAR, when I am working
from a script?
Thanks in advance!
12 years, 2 months
yrange of gnuplot with scalar
by Federico Lampis UC3M
Hi,
is it possible to use some scalar in the commands of gnuplot? I have in
my funcion a graph and it seems that gnuplot does not allow to put
scalar in the yrange and xrange parameter:
gnuplot lrc lrs otv --with-lines --output=display --single-yaxis { set
title 'Confidence interval for Threshold'; set yrange [0:40]; }
I need that gnuplot uses the maximum and minimum of my series.
Thanks
Federico
12 years, 3 months
Re: [Gretl-users] Gretl-users Digest, Vol 53, Issue 20
by Federico Lampis UC3M
Great!!!
Yes, I was looking for a way to pass to gnuplot some scalar with which
define the ranges of the graph. Problem solved.
Thanks a lot
Federico
El mar, 28-06-2011 a las 12:00 -0400, gretl-users-request(a)lists.wfu.edu
escribió:
>
> Gnuplot (of course) has its own mechanisms for dealing with scalar
> variables, but it doesn't know anything about variables defined within
> gretl. Hence the detour via strings.
12 years, 3 months
"Enhancements"
by Henrique Andrade
Dear Gretl Team,
I would like to suggest some "enhancements":
1. Create an option "Reset to default" inside all the preference menus (just
like we already have in the "Pallete" tab on the Gretl plot controls);
2. Create an option "Clear recent history" inside the menus File -> Script
files & Session files;
3. Extend the proxy functionality by including the option of using
passwords.
Best regards,
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
12 years, 3 months
Restrict params in MLE
by savos schmagges
Dear gretl-community,
is it possible to impose restrictions inside a mle-command?
e.g. i want to impose that a parameter d should be estimated higher or equal to a parameter b.
so i am searching for something like that:
mle logl=...
...
d>=b
params d b
end mle
Is there any possibility to account for that??
Thank you so much in advance and have a nice weekend!
cheers
12 years, 3 months
