Re: [Gretl-users] fcast arch bug?

I finally made it to the computer where I'm running the regressions. When I run an OLS regression on the model I'm testing and run the arch test I get this output: Test for ARCH of order 24 PARAMETER ESTIMATE STDERROR T STAT P-VALUE alpha(0) 2.08514E+06 515100 4.048 0.00005 *** alpha(1) 0.938152 0.0247825 37.855 <0.00001 *** alpha(2) -0.0826077 0.0339689 -2.432 0.01513 ** alpha(3) -0.0205300 0.0340354 -0.603 0.54646 alpha(4) -0.0667144 0.0340145 -1.961 0.05001 * alpha(5) 0.0127966 0.0339762 0.377 0.70650 alpha(6) -0.0590282 0.0337789 -1.747 0.08074 * alpha(7) 0.0648604 0.0338031 1.919 0.05519 * alpha(8) 0.0209728 0.0338221 0.620 0.53528 alpha(9) -0.0761478 0.0337007 -2.260 0.02398 ** alpha(10) 0.0724101 0.0336583 2.151 0.03160 ** alpha(11) -0.0280495 0.0337054 -0.832 0.40542 alpha(12) 0.0116758 0.0337173 0.346 0.72917 alpha(13) -0.00739561 0.0337165 -0.219 0.82641 alpha(14) 0.0106318 0.0337551 0.315 0.75283 alpha(15) 0.103602 0.0337038 3.074 0.00215 *** alpha(16) -0.116552 0.0337181 -3.457 0.00056 *** alpha(17) 0.00503461 0.0338357 0.149 0.88173 alpha(18) -0.0265224 0.0337809 -0.785 0.43249 alpha(19) 0.141321 0.0337470 4.188 0.00003 *** alpha(20) -0.0856709 0.0339276 -2.525 0.01166 ** alpha(21) 0.0519347 0.0339545 1.530 0.12633 alpha(22) -0.0276832 0.0339709 -0.815 0.41524 alpha(23) 0.0396563 0.0339167 1.169 0.24248 alpha(24) -0.00949085 0.0246846 -0.384 0.70067 Null hypothesis: no ARCH effect is present Test statistic: TR^2 = 1182.98 with p-value = P(Chi-Square(24) > 1182.98) = 1.04224e-234 The p-value is essentially zero, so I should be rejecting the null hypothesis and there should be a model availalbe for forecasting when I run the arch command then correct? Thanks, Chris On 6/13/07, Chris <quilley(a)gmail.com&gt; wrote: