Re: [Gretl-users] Help with GIG package
On Tue, 8 Mar 2011, Riccardo (Jack) Lucchetti wrote:
There's a fundamental notation problem here.
Lee's book follows the notation in Hill et al, which in turn is based on what
I believe EViews uses. The trouble is that what EViews calls a TGARCH is not
the same thing as what gig calls a TARCH. The model described in eq. 14.9 in
Lee's book corresponds to what gig calls a GJR model, with different
notation. (...)
Better late than never.
In the CVS version of gig, the GJR case is treated specially to make it
easier to compare results with other packages (that means Eviews, in
practice). If you want to try out CVS gig, here's what you do:
1) download the CVS version of gig from
http://gretl.cvs.sourceforge.net/viewvc/gretl/gretl-addons/gig/?view=tar
2) unpack in a subdirectory of your choice
3) run the file gig.inp; this should produce a new gig.gfn package file in
the same directory
4) substitute the old gig.gfn file in your gretl installation with the
freshly-baked, delicious-smelling one.
5) Enjoy.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti