Re: [Gretl-users] AR-GARCH-t MLE

On 03/20/2012 10:13 PM, Allin Cottrell wrote: > On Tue, 20 Mar 2012, Daniel Bencik wrote: > >> I humbly ask you for help with hopefully the last problem. >> >> I would like to estimate an AR(1)-GARCH(1,1) model with T-distributed normalized residuals. I take the loglik function from http://faculty.chicagobooth.edu/jeffrey.russell/teaching/finecon/readings... p15 and transform everything into code. > >> # allRng[t] = c + a1*allRng[t-1] + e[t] >> scalar c = 0.1 >> scalar a1 = 0.1 >> >> # e[t] = h[t] * Student[t] >> # GARCH - h[t] = cg + ga*h[t-1] + arc*e^2[t-1] >> scalar cg = 0.1 >> scalar ga = 0.1 >> scalar arc = 0.1 >> scalar dof = 4 >> >> mle ll = log(gammafun((dof + 1)/2)) - log(gammafun(dof/2)) - 0.5*log(dof-2) - log(h) # - 0.5*(dof + 1)*log(1 + (dof - 2)^(-1)*h^(-2)*e^2) >> series e = 0 >> series e = allRng - c - a1*allRng(-1) #AR1 process >> >> series h = var(allRng) > > This is a type error: given a series argument, the var() > function returns a scalar result, namely the variance of the > series. > Hm, that's also what I thought at first when I looked at it. However: - basically the same approach is in the manual (Jan 2012): p. 147 at the bottom, with var(y) - doesn't the 'series' command in this case coerce the scalar value to a (constant) series?

- could the error message be made more helpful? (according to OP it mentions the variable ll)