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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