Box Plot Identification.
by Luiz Cesar

Dear All,
My name is Luiz Cesar. I´m a new user of Gretl, I have some doubts, that i guess you can help me.
I edited the gnuplot bellow, where can i add the labels?
Thank you very much!!!
Luiz Cesar
# set term pngcairo font "verdana,8"
set encoding utf8
# boxplots
set style line 1 lc rgb "#ff0000"
set style line 2 lc rgb "#0000ff"
set style line 3 lc rgb "#00cc00"
set style line 4 lc rgb "#bf25b2"
set style line 5 lc rgb "#8faab3"
set style line 6 lc rgb "#ffa500"
set style line 8 lc rgb "#dddddd"
set style increment user
set title "CustosOperacion"
set nokey
set xrange [0:2]
set yrange [3.35038e+007:1.93989e+009]
set ytics nomirror
set border 2
set noxtics
set boxwidth 0.3 relative
plot \
'-' using 1:3:2:5:4 w candlesticks lt 2 lw 2 notitle, \
'-' using 1:2:2:2:2 w candlesticks lt -1 notitle, \
'-' using 1:2 w points pt 1 notitle, \
'-' using 1:2 w points lt 0 pt 7 ps 0.25 notitle
1 1.04111e+008 2.09326e+008 4.76164e+008 7.31231e+008
e
1 2.91621e+008
e
1 4.35339e+008
e
# auxdata 3 2
1 1030811332
1 1267776861
1 1869287128
e
9 years, 1 month

Re: [Gretl-users] AR-GARCH-t MLE
by Daniel Bencik

Thank you all, AR(7) turned out to be the best specification in the end. Trying to fit a short memory model on long memory volatility is a pain.
Allin, do you still want my dataset?
All the best,
Daniel
9 years, 1 month

matrix and yes no
by clarodina clarodina

How to do a yes no calculation on matrix?
Matrix m has 2 columns class A and class B and 200 rows exam scores 0 - 100
Each row is 1 student
Want to sum the the number of students in class A with scores between 40
and 60
9 years, 1 month

Re: [Gretl-users] saving data
by Henrique Andrade

Dear Clarodina, please take a look at the script attached. I think now it
solves your problem :-)
Best regards,
Henrique Andrade
2012/3/25 clarodina clarodina <clarodina(a)gmail.com>
> Hi Henrique,
>
> Tks for replying
>
> The data file structure is csv of text file below
>
> The actual file has 6000 rows and 100 columns
>
> The first column is date and second to 100 columns are name d1 to d100
>
> Some columns have blank with no data
>
(...)
Want to do is to use a rolling 10 rows data points or 20 rows data or other
> custom number of rows data points to compute the corr between the d1 - d100
> columns
>
> Compute a ROLLING 20 rows data points of corr(d1,d2) on the 6000 rows of
> d1 d2 data points
>
> Get the output of corr(d1,d2) and determine the number of corr(d1,d2)
> output between 0.2 to 0.6 values
>
> Sum the number of corr(d1,d2) output between 0.2 to 0.6 values and divide
> from the total number of observations or datapoints use on the computation
> of corr
>
> The process is for d1 and d2 columns but would want to extend the
> computation to (d1,d3) (d1,d4) (d1,d5) (d2,d3) (d2,d4) (d2,d5)
>
> The file has some blank rows with no data and gretl may not accept the
> file and some script would require to ignore the blank rows
>
9 years, 1 month

Re: [Gretl-users] saving data
by clarodina clarodina

>
> Hi Henrique,
>
> Tks for replying
>
> The data file structure is csv of text file below
>
> The actual file has 6000 rows and 100 columns
>
> The first column is date and second to 100 columns are name d1 to d100
>
> Some columns have blank with no data
>
> Date d1 d2 d3 d4 d5 d6 d7 d8 2/8/2011 0.064711
> 0.001324
> 0.000586
>
> 0.001102 2/9/2011 0.065808
> 0.001365
> 0.000667
>
> 0.001101 2/10/2011 0.06506
> 0.0015
> 0.000652
>
> 0.001093 2/11/2011 0.06511
> 0.001492
> 0.000615 0.001886
> 0.001072 2/14/2011 0.063594
> 0.001514
> 0.000629 0.00184
> 0.001113 2/15/2011 0.063345 0.0577 0.00147
> 0.000593 0.001374
> 0.001258 2/16/2011 0.064223 0.05828 0.00147
> 0.000523 0.00142
> 0.001145 2/17/2011 0.062627 0.05525 0.001484 0.000523 0.00041 0.001542
> 0.00159 2/18/2011 0.062208 0.05525 0.001431 0.00041 0.000401 0.001145
> 0.001709 0.001568 2/22/2011 0.061251 0.05502 0.001474 0.000401 0.000452
> 0.00159 0.001925 0.001367 2/23/2011 0.060523 0.05442 0.00148 0.000452
> 0.000502 0.001568 0.001557 0.05458 2/24/2011 0.061141 0.05458 0.001457
> 0.001382 0.000463 0.001367 0.001584 0.05534 2/25/2011 0.062448 0.05534
> 0.001453 0.001075 0.000532 0.001382 0.001217 0.05558 2/28/2011 0.062498
> 0.05558 0.001404 0.001382 0.000431 0.001075 0.001418 0.05515 3/1/2011
> 0.062448 0.05515 0.001384 0.001075 0.000465 0.001101 0.001264 0.05591
> 3/2/2011 0.062837 0.05591 0.001391 0.001285 0.000529 0.001293 0.001152
> 0.064223 3/3/2011 0.064272 0.05655 0.001404 0.001268 0.000565 0.001429
> 0.001101 0.062627 3/4/2011 0.063604 0.05638 0.001374 0.001235 0.00056
> 0.001208 0.000951 0.062208 3/7/2011 0.062866 0.05538 0.001354 0.00125
> 0.00049 0.001153 0.0012 0.061251 3/8/2011 0.063893 0.056 0.001406 0.001244
> 0.000576 0.001613 0.001185 0.060523 3/9/2011 0.064322 0.05596 0.001393
> 0.001205 0.000602 0.00142 0.000938 0.05638
> Want to do is to use a rolling 10 rows data points or 20 rows data or
> other custom number of rows data points to compute the corr between the d1
> - d100 columns
>
> Tks
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
9 years, 1 month

Re: [Gretl-users] AR-GARCH-t MLE
by Daniel Bencik

Hello everybody,
first off, thank you all for suggestions.
Riccardo, I know that anything bigger than arma(2,1) is going to be a crappy model. Im forecating volatility and arma is one of the options, the obviously sloppy one but nevertheless the benchmark and I can prove nowehere else than on out of sample that its great fit is just an illusion. That's actually the point...
So, the ARMA(6,5)-GARCH(1,1) model with T-distributed residuals in Eviews gives estimates which are to be seen at http://eubie.sweb.cz/gretl_forum/Eviews_estimation.PNG
When I plug in the very same numbers as initial values into my gretl code, I get convergence, however, I arrive at different estimates, see http://eubie.sweb.cz/gretl_forum/gretl_forum_correct_starting_values.txt
When I however change those starting values just a little bit (namely ga, arc and dof by as little as 0.05), convergence is gone, see http://eubie.sweb.cz/gretl_forum/gretl_forum_slightly_incorrect_starting_...
The most interesting point is that Eviews is telling me that LL = 3978 when MLE is found. When I start gretl with those "correct" values, the reported LL = 2036. Hence, I would suspect a difference in LL function. Eviews claims to be using http://www.scribd.com/doc/44246798/EViews-7-Users-Guide-II page 198 Eq 7.11 which I have coded as
mle ll = -0.5*log(pi*(dof-2)) - lngamma(dof/2) + lngamma((dof + 1)/2) -0.5*log(h) - 0.5*(dof + 1)*log(1 + (dof - 2)^(-1)*h^(-1)*e^2)
and I cant see the difference. My script is at http://eubie.sweb.cz/gretl_forum/ARMA65garch11t%20pro%20gretl%20forum.inp
I dont know where to look for a possible error anymore.
Thank you all once again,
Daniel
9 years, 1 month

Re: [Gretl-users] saving data
by clarodina clarodina

Henrique Andrade,
The script has 20 iterations
The australia.gdt has 77 obs
Using 20 data points for calculation should have > 20 iterations to current
smpl 1986:2 : 1991:1 (n = 20)
but the script has to Current sample: 1977:1 - 1981:4 (n = 20)
want to have the script to use the 20 data points for calculation loop full
obs
tks
9 years, 1 month

saving data
by clarodina clarodina

sven, currently smpl 1 20 corr smpl+1+1 and corr smpl+1+1 corr on the raw
data for 20 data points
is quite laborious want to is to loop the corr on 20 points and write
the output of corr to a series save on gretl for more other calculation
that why ask what is the accessor to retrive the output of corr and to
write to the series and save
9 years, 1 month

Re: [Gretl-users] Gretl-users Digest, Vol 62, Issue 20
by clarodina clarodina

did a loop on a number of data points for corr but how to store them on a
series or matrix
anyone has a sample script
On Fri, Mar 23, 2012 at 10:00 AM, <gretl-users-request(a)lists.wfu.edu> wrote:
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> Today's Topics:
>
> 1. Re: AR-GARCH-t MLE (Rodrigo Alfaro Arancibia)
> 2. Re: saving data (Sven Schreiber)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Fri, 23 Mar 2012 11:54:46 -0300
> From: Rodrigo Alfaro Arancibia <ralfaro(a)fen.uchile.cl>
> Subject: Re: [Gretl-users] AR-GARCH-t MLE
> To: Gretl list <gretl-users(a)lists.wfu.edu>
> Message-ID:
> <CA+M9tHqYYZ92LvAMAKSv5=PEcg1GEU83LASuAMoBWXVx_jGZNQ(a)mail.gmail.com
> >
> Content-Type: text/plain; charset=ISO-8859-1
>
> 2012/3/23 Allin Cottrell <cottrell(a)wfu.edu>:
> > On Fri, 23 Mar 2012, Riccardo (Jack) Lucchetti wrote:
> >
> >> On Fri, 23 Mar 2012, Daniel Bencik wrote:
> >
> >>> However, Im gettin into a problem (again!). The estimation does not
> >>> converge. For some simpler specifications ( I mean simpler than
> >>> ARMA(7,5)-GARCH(1,1)-t ) I was able to help the algo to converge by
> setting
> >>> different parameter starting values. However, with this complicated
> model,
> >>> even when I set the initial values equal to "true" values found by
> eviews,
> >>> the algo still does not converge.
> >>
> >> With all due respect:
> >>
> >> 1) Unless you have over one billion observations, then estimating an
> >> ARMA(7,5) model is asking for trouble
> >>
> >> 2) I wouldn't put my life in the hands of Eviews' optimising algorithms.
> >
> > To expand on Jack's point 2) a little: it's possible that
> > Eviews' algorithm is more effective in finding the MLE in this
> > case, but it's also possible that Eviews is using a relatively
> > sloppy criterion for reporting a claimed MLE. Before
> > concluding that Eviews is giving you "true" values, you should
> > look at the gradients at "convergence".
> >
> > In gretl, use the --verbose switch with the mle command to see
> > what's happening in detail. You might -- or might not -- see
> > that gretl is finding a log-likelihood comparable to Eviews'
> > maximum, but is not reporting convergence based on the
> > gradient criterion. If you find that Eviews is in fact
> > reaching a proper solution with a greater log-likelihood than
> > gretl is able to find, that would be worth reporting back to
> > us.
> >
> > Allin Cottrell
>
> Daniel, are you sure about 'true-values' in EViews?
> I mean, did the algorithm converge? In other words,
> did it say 'convergence achieved'? If that is the case,
> you could evaluate your LL with zero iteration and
> see the value of gradients (Allin's suggestion).
>
>
> ------------------------------
>
> Message: 2
> Date: Fri, 23 Mar 2012 16:05:48 +0100
> From: Sven Schreiber <svetosch(a)gmx.net>
> Subject: Re: [Gretl-users] saving data
> To: gretl-users(a)lists.wfu.edu
> Message-ID: <4F6C914C.9080409(a)gmx.net>
> Content-Type: text/plain; charset=ISO-8859-1
>
> On 03/23/2012 03:01 PM, Allin Cottrell wrote:
> > On Fri, 23 Mar 2012, clarodina clarodina wrote:
> >
> >> Hi, is there a accessor for correlation?
> >
> > There's the corr() function.
> >
>
> hey, don't give the secret away :-)
>
> -sven
>
>
> ------------------------------
>
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> End of Gretl-users Digest, Vol 62, Issue 20
> *******************************************
>
9 years, 1 month