Re: [Gretl-users] GARCH Conversion
Am 21.06.2018 um 12:52 schrieb Periklis Gogas:
And using Eviews with exactly the same specification and data I get this:
I
don't have an explanation (not knowing very well what happens inside
the Garch or gig/GARCH routines), but it is not strictly true that it is
the same specification: In gretl you used the default "sandwich" for the
VCV, and Eviews says "outer product of gradients". You could try to use
OPG in gretl as well and tell us what happens.
It would certainly be interesting whether Eviews gets it right, or just
gets "something".
cheers,
sven
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