PG
Periklis Gogas
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of
Thrace
Associate Editor - Journal of Economic Asymmetries
Euro Area Business Cycle Network - Fellow
The Rimini Centre for Economic Analysis - Fellow
The Society for Economic Measurement - Member
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
Σύγχρονοι Ελληνικοί Μύθοι - το νέο μου βιβλίο
On Thu, 21 Jun 2018, Sven Schreiber wrote:
> 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".
Also: it looks as if you're using a series in levels, as opposed to log
differences, which is what you normally feed into garch models. Could you
send me your dataset? I'll have a look at it as soon as I get the chance.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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