Re: [Gretl-users] About the MLE example for GARCH
On Fri, 5 Oct 2007, yinung CYCU wrote:
2007/10/5, Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>:
>
>>> On Fri, 5 Oct 2007, yinung CYCU wrote:
>
>>> Could you please try to see what happens by appending the --verbose
> switch
>>> to mle?
Yes. Please see below and thanks.
[...]
Iteration 1: Log-likelihood = -1561.46147443
Parameters: 0.00000 1.0000 0.40000 0.50000
Gradients: 89.979 -296.97 -181.84 -396.60
[...]
--- FINAL VALUES:
Iteration 14: Log-likelihood = -1370.26343279 (steplength = 0.00032)
Parameters: 0.060118 0.72499 0.23890 0.13263
Gradients: -0.0018076 0.00079581 -0.0017053 0.0013415
This is puzzling. I've tried replicating your results with CVS and 1.6.5
on both Windows and Linux. I *can* replicate your problem, but only with
the Windows version of 1.6.5. Could you please confirm that the current
Windows snapshot works properly? You can download it from the following
URL: http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
Thanks
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti