Re: [Gretl-users] Coefficient confidence intervals in console
On Thu, Jul 14, 2011 at 1:14 PM, Oscar Soppelsa
<oscar.soppelsa(a)bancaakros.it> wrote:
I’ve looked for the console command to show the coefficient
confidence intervals after having estimated a GARCH model.
You have to set this up yourself. For example:
open b-g.gdt
garch 1 1 ; Y
matrix b = $coeff ~ $stderr
# 95 percent confidence
scalar a = 0.05
scalar pm = invcdf(z, 1 - a/2)
b ~= (b[,1] - pm*b[,2]) ~ (b[,1] + pm*b[,2])
colnames(b, "coeff stderr low high")
print b
Allin Cottrell