Re: [Gretl-users] Help with GIG package

Is there restriction on the parameters in GJR estimator ? For known sample from some earlier investigations in GJR I'm getting coefficient std. error z p-value ----------------------------------------------------------- omega 2.92219 0.362995 8.050 8.26e-016 *** alpha 4.05716 3.19429 1.270 0.2040 gamma -0.786387 0.111860 -7.030 2.06e-012 *** beta -0.000413316 0.000838259 -0.4931 0.6220 With old GIG I had this values: alpha+beta = 0.986 gamma = 0.259 +- 0.053 I know that there is second moment only for alpha+beta+gamma/2 < 1 S. Ling and M. McAleer, J. Econometr. 106, 109 (2002). On 10.7.2011. 17:29, Davor Horvatic wrote: > Thanks a lot :) > > On 10.7.2011. 17:14, Riccardo (Jack) Lucchetti wrote: >> On Sun, 10 Jul 2011, Davor Horvatic wrote: >> >>> First short question: >>> >>> How to get gig_estimate coefficients ? >>> I tried as: >>> >>> b = gig_setup(y,3) >>> gig_estimate(&b) >>> >>> matrix g4 = $coeff >>> >>> or >>> >>> g4 = $coeff[3] >>> >>> but I get this error code: >>> >>> ? matrix g4 = $coeff >>> The statistic you requested is not available >> >> The coefficient vector is one of the bundle elements (see the pdf >> help file for details). In short, you should get what you want by >> >> <hansl> >> b = gig_setup(y,3) >> gig_estimate(&b) >> c = b["coeff"] >> g4 = c[3] >> </hansl> >> >> >> >> Riccardo (Jack) Lucchetti >> Dipartimento di Economia >> Università Politecnica delle Marche >> >> r.lucchetti(a)univpm.it >> http://www.econ.univpm.it/lucchetti >> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users