Is there restriction on the parameters in GJR estimator ?
For known sample from some earlier investigations in GJR I'm getting
              coefficient    std. error       z       p-value
   -----------------------------------------------------------
   omega       2.92219       0.362995       8.050    8.26e-016 ***
   alpha       4.05716       3.19429        1.270    0.2040
   gamma      -0.786387      0.111860      -7.030    2.06e-012 ***
   beta       -0.000413316   0.000838259   -0.4931   0.6220
With old GIG I had this values:
alpha+beta = 0.986
gamma = 0.259 +- 0.053
I know that there is second moment only for  alpha+beta+gamma/2 < 1
S. Ling and M. McAleer, J. Econometr. 106, 109 (2002).
On 10.7.2011. 17:29, Davor Horvatic wrote:
 Thanks a lot :)
 On 10.7.2011. 17:14, Riccardo (Jack) Lucchetti wrote:
> On Sun, 10 Jul 2011, Davor Horvatic wrote:
>
>> First short question:
>>
>> How to get gig_estimate coefficients ?
>> I tried as:
>>
>> b = gig_setup(y,3)
>> gig_estimate(&b)
>>
>> matrix g4 = $coeff
>>
>> or
>>
>> g4 = $coeff[3]
>>
>> but I get this error code:
>>
>> ? matrix g4 = $coeff
>> The statistic you requested is not available
>
> The coefficient vector is one of the bundle elements (see the pdf 
> help file for details). In short, you should get what you want by
>
> <hansl>
>   b = gig_setup(y,3)
>   gig_estimate(&b)
>   c = b["coeff"]
>   g4 = c[3]
> </hansl>
>
>
>
> Riccardo (Jack) Lucchetti
> Dipartimento di Economia
> Università Politecnica delle Marche
>
> r.lucchetti(a)univpm.it
> 
http://www.econ.univpm.it/lucchetti
>
>
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