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@univpm.it
http://www.econ.univpm.it/lucchetti
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