Re: [Gretl-users] unobserved component model with stochastic volatility (UC-SV)

Artur, Allin et al, I haven't looked at this for a while, but IIRC I got similar parameter estimates to S&W. I've been away for a few days but will try to sort this out in the next day or 2 and get back to you. PS ________________________________________ From: gretl-users-bounces(a)lists.wfu.edu [gretl-users-bounces(a)lists.wfu.edu] on behalf of artur tarassow [artur.tarassow(a)googlemail.com] Sent: Tuesday, May 15, 2012 3:30 PM To: Gretl list Subject: Re: [Gretl-users] unobserved component model with stochastic volatility (UC-SV) Hey Allin, I should have been more precise. Actually I am trying to replicate figure 2a (std. deviation of the permanent component) and 2b (std. deviation of the transitory component) from the S/W paper. If one compares figures 2a and 2b with the results I've obtained with Peter Summer's gretl code (pdf, attached before) you see that they highly deviate from Stock and Watson's results. But using the original code I can replicate their figures quite well (see attached pdf files). I thought that maybe somebody on the mailing list has already tried to replicate the S/W paper using their data and Peter Summer's code. Best, Artur 2012/5/15 Allin Cottrell <cottrell@wfu.edu<mailto:cottrell@wfu.edu>> On Mon, 14 May 2012, Artur Tarassow wrote: What exactly is it that you're comparing between the Stock & Watson paper and gretl output? And are you using the corrected S & W output? http://www.princeton.edu/~mwatson/papers/jmcb_07_stockandwatson_corrected... Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users@lists.wfu.edu<mailto:Gretl-users@lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users