Re: [Gretl-users] About the MLE example for GARCH
On Fri, 5 Oct 2007, yinung CYCU wrote:
Dear all:
I am a new user of gretl.
I have a question about the MLE example for estimating GARCH on page 118 of
the gretl user guide (chapter 17).
I tried the script as shown in what follows ( scalar beta was changed to 0.5
):
Hmm. Weird. I copied/pasted your script and I get
Function evaluations: 111
Evaluations of gradient: 26
Model 1: ML estimates using the 2527 observations 80/01/03-89/12/29
ll = -0.5*(log(h) + (e^2)/h)
Standard errors based on Outer Products matrix
PARAMETER ESTIMATE STDERROR T STAT P-VALUE
mu 0.0701074 0.0182281 3.846 0.00012 ***
omega 0.0483072 0.00513289 9.411 <0.00001 ***
alpha 0.0917997 0.00269541 34.058 <0.00001 ***
beta 0.869745 0.00811328 107.200 <0.00001 ***
Log-likelihood = -1245.98
Akaike information criterion (AIC) = 2499.95
Schwarz Bayesian criterion (BIC) = 2523.29
Hannan-Quinn criterion (HQC) = 2508.42
which looks ok. What version of gretl are you using? In you output I see
Function evaluations: 60
Evaluations of gradient: 14
It looks like in your case the iterations stop much earlier than
necessary, thereby producing an "estimate" far away from the true maximum.
Could you please try to see what happens by appending the --verbose switch
to mle?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti