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Today's Topics:

1. Using BFGSmax (clarodina@lycos.com)
2. Using BFGSmax (clarodina@lycos.com)
3. Re: Using BFGSmax (Allin Cottrell)
4. Adding one variable for Autoregressive Conditional Duration
(Josephine Sudiman)


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Message: 1
Date: Fri, 23 Dec 2011 18:25:42 +0000 (GMT)
From: "clarodina@lycos.com" <clarodina@lycos.com>
Subject: [Gretl-users] Using BFGSmax
To: gretl-users@lists.wfu.edu
Message-ID: <1608802836.117946.1324664742112.JavaMail.mail@webmail18>
Content-Type: text/plain; charset=UTF-8

Allin Cottrell,

Tks for the reply

d1 is another data series and not the fit value from d1 = b[1] * d2 + b[2] * d3

Want to regress d1 against d2 and d3 and find a d1^hat approximating d1

Ols uses error minimization but want to use maximisation of t value from the adf of d1^hat

Using the script you provide, the original d1 data series is replace from the d1^hat

Clarodina



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Message: 2
Date: Fri, 23 Dec 2011 18:32:21 +0000 (GMT)
From: "clarodina@lycos.com" <clarodina@lycos.com>
Subject: [Gretl-users] Using BFGSmax
To: gretl-users@lists.wfu.edu
Message-ID: <509732906.118095.1324665141085.JavaMail.mail@webmail18>
Content-Type: text/plain; charset="us-ascii"

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Message: 3
Date: Fri, 23 Dec 2011 13:41:35 -0500 (EST)
From: Allin Cottrell <cottrell@wfu.edu>
Subject: Re: [Gretl-users] Using BFGSmax
To: Gretl list <gretl-users@lists.wfu.edu>
Message-ID: <alpine.LNX.2.00.1112231331270.519@waverley.dhcp.wfu.edu>
Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed

On Fri, 23 Dec 2011, clarodina@lycos.com wrote:

> d1 is another data series and not the fit value from d1 =
> b[1] * d2 + b[2] * d3
>
> Want to regress d1 against d2 and d3 and find a d1^hat
> approximating d1
>
> Ols uses error minimization but want to use maximisation of
> t value from the adf of d1^hat
>
> Using the script you provide, the original d1 data series is
> replace from the d1^hat

My script can be thought of as giving you a d1-hat that
satisfies your "maximum ADF t" criterion. Of course, it may
bear little relationship to the actual d1 data. If in addition
you want d1-hat to "resemble" d1 in some way, you'll have to
constrain the maximization of the ADF t -- e.g. provide a
criterion for maximization that's a weighted sum of SSR for d1
and the ADF t-ratio for d1-hat (with a negative sign on the
SSR). [SSR = sum of squared residuals]

But this seems very weird, and there's no telling what
statistical properties the resulting estimator would possess.

Allin Cottrell


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Message: 4
Date: Fri, 23 Dec 2011 20:20:25 -0800 (PST)
From: Josephine Sudiman <jsudiman@yahoo.com>
Subject: [Gretl-users] Adding one variable for Autoregressive
Conditional Duration
To: "r.lucchetti@univpm.it" <r.lucchetti@univpm.it>
Cc: "gretl-users@lists.wfu.edu" <gretl-users@lists.wfu.edu>
Message-ID:
<1324700425.73808.YahooMailNeo@web121403.mail.ne1.yahoo.com>
Content-Type: text/plain; charset="iso-8859-1"

Dear Gretl Mailing List Users,?
?

My apologise to email you at this time of year. First of all, I wish that you will have a Merry Christmas which will come in less than 48 hours. I am honestly very grateful to join this mailing list, it is always very supportive.

Once I wrote an email in GRETL mailing list to ask?help on how to code for the Maximum Likelihood Estimation to estimate the ACD model on GRETL and?I have the great help from Prof.?Lucchetti in this issue.

Now, I am begging for assistance again. It is still?about the ACD model, but my specification is:

EP_DUR(t) = x0 + x1 P_DUR(t-1) + x2 EP_TIME(t-1) + x3 SPREAD (t-1)
where:
EPTIME is the expected duration
PTIME is the actual duration (i got the value of this series)
EPTIME is the expected duration at lag1
SPREAD is the spread at lag1; spread is difference between bid and ask (i got the value of this series)

I?intend to apply Weilbull WACD (1,1)?and?Exponential EACD (1,1) to obtain the estimation of X0, x1, x2 and x3.
May question is where should I add the variable (SPREAD) in this model. I attached?the previous GRETL program that Prof. Lucchetti wrote for me last time and my simple data in gdt. I am really sorry to disturb you all during this festive break. Many sincere thanks for any help and attention....

Kind regards,
Josephine
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