Help with ARMA and forecasts in libgretl
by Вадим Марковцев
Hello.
I can't figure the following thing out myself (poor API documentation), what
the order of values in *const int *list *is in
MODEL <http://gretl.sourceforge.net/API/gretl-libgretl.html#MODEL:CAPS>
arma (*const int *list*,
*const int *pqlags*,
*const double **Z*,
*const
DATAINFO <http://gretl.sourceforge.net/API/gretl-libgretl.html#DATAINFO:CAPS>
*pdinfo*,
*gretlopt
<http://gretl.sourceforge.net/API/gretl-libgretl.html#gretlopt> opt*,
*PRN
<http://gretl.sourceforge.net/API/gretl-PRN.html#PRN:CAPS> *prn*);
I say, p is 2, q is 2 and d is 0, dependent variable is #2,
no exogenous regressors. list[0] - autogenerated, list[1] = 2, list[2] = 2,
list[3] = 2, right?
Besides, can you explain the meaning of fields in FITRESID structure?
Particularly, what is the forecast actually, FITRESID.double *actual
or FITRESID.double *fitted?
Thanks,
Makovtsev Vadim.
12 years, 9 months
FAVAR
by amaryl
Dear all,
has anyone of you ever done a FAVAR in the style of Bernanke et al
(2005)?
I am looking for someone to compare notes with, as I am trying to
implement a FAVAR at present and get somewhat implausible results.
I have trouble finding the mistake I made, because all that is
economically interpretable in a FAVAR are the impulse responses at the
end. Therefore I'm unsure where I slipped up.
It would be great hearing from any of you, who has done this before.
I hope this is not an inappropriate request on this list.
Best,
Britta
12 years, 9 months
Re: [Gretl-users] Searching
by George Matysiak
*Charles - Gretyl has the Blundell Bond GMM-SYS estimator which I need.
Interestingly, Eviews only has the Arellano Bond.
*
12 years, 9 months
Re: [Gretl-users] Searching
by George Matysiak
*Apologies for what may be an obvious question - is it possible to search
the list by keyword(s) e.g panel data? thanks.
*
12 years, 9 months
Re: [Gretl-users] Searching
by George Matysiak
*I've just clicked onto 'gretl-users(a)lists.wfu.edu' and I have a new subject
rather than a continuationn of the thread.
*
12 years, 9 months
Re: [Gretl-users] Searching
by George Matysiak
*Thank you. A basic question, how do I reply so that my reply is appended to
the subject thread rather than commencing a new thread?
*
12 years, 9 months
