On Fri, Mar 23, 2012 at 10:00 AM,
<gretl-users-request@lists.wfu.edu> wrote:
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Today's Topics:
1. Re: AR-GARCH-t MLE (Rodrigo Alfaro Arancibia)
2. Re: saving data (Sven Schreiber)
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Message: 1
Date: Fri, 23 Mar 2012 11:54:46 -0300
From: Rodrigo Alfaro Arancibia <ralfaro@fen.uchile.cl>
Subject: Re: [Gretl-users] AR-GARCH-t MLE
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID:
<CA+M9tHqYYZ92LvAMAKSv5=PEcg1GEU83LASuAMoBWXVx_jGZNQ@mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1
2012/3/23 Allin Cottrell <cottrell@wfu.edu>:
> On Fri, 23 Mar 2012, Riccardo (Jack) Lucchetti wrote:
>
>> On Fri, 23 Mar 2012, Daniel Bencik wrote:
>
>>> However, Im gettin into a problem (again!). The estimation does not
>>> converge. For some simpler specifications ( I mean simpler than
>>> ARMA(7,5)-GARCH(1,1)-t ) I was able to help the algo to converge by setting
>>> different parameter starting values. However, with this complicated model,
>>> even when I set the initial values equal to "true" values found by eviews,
>>> the algo still does not converge.
>>
>> With all due respect:
>>
>> 1) Unless you have over one billion observations, then estimating an
>> ARMA(7,5) model is asking for trouble
>>
>> 2) I wouldn't put my life in the hands of Eviews' optimising algorithms.
>
> To expand on Jack's point 2) a little: it's possible that
> Eviews' algorithm is more effective in finding the MLE in this
> case, but it's also possible that Eviews is using a relatively
> sloppy criterion for reporting a claimed MLE. Before
> concluding that Eviews is giving you "true" values, you should
> look at the gradients at "convergence".
>
> In gretl, use the --verbose switch with the mle command to see
> what's happening in detail. You might -- or might not -- see
> that gretl is finding a log-likelihood comparable to Eviews'
> maximum, but is not reporting convergence based on the
> gradient criterion. If you find that Eviews is in fact
> reaching a proper solution with a greater log-likelihood than
> gretl is able to find, that would be worth reporting back to
> us.
>
> Allin Cottrell
Daniel, are you sure about 'true-values' in EViews?
I mean, did the algorithm converge? In other words,
did it say 'convergence achieved'? If that is the case,
you could evaluate your LL with zero iteration and
see the value of gradients (Allin's suggestion).
------------------------------
Message: 2
Date: Fri, 23 Mar 2012 16:05:48 +0100
From: Sven Schreiber <svetosch@gmx.net>
Subject: Re: [Gretl-users] saving data
To: gretl-users@lists.wfu.edu
Message-ID: <4F6C914C.9080409@gmx.net>
Content-Type: text/plain; charset=ISO-8859-1
On 03/23/2012 03:01 PM, Allin Cottrell wrote:
> On Fri, 23 Mar 2012, clarodina clarodina wrote:
>
>> Hi, is there a accessor for correlation?
>
> There's the corr() function.
>
hey, don't give the secret away :-)
-sven
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