Re: [Gretl-users] arima + arch ?

On Tue, 5 Jun 2007, Chris wrote: At the moment there is no native command that allows you to run a combined ARMA+ARCH model in gretl. You have 2 alternatives: 1) If your arma model doesn't include a MA part, just add lags of the dependent variable as regressors: this will give you conditional maximum likelihood, which is asymptotically equivalent to full ML. 2) If you really need full ML, you can write a function taking the observed series and the parameters as input and returning the one-step-ahead prediction errors plus the conditional variances and stick that into an mle block. You can use the attached script (rough proof-of-concept) as a template. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti