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@univpm.it
http://www.econ.univpm.it/lucchetti
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