Re: [Gretl-users] missing time series model in my gretl

On Tue, 24 Jun 2008, Yifei Pei wrote: You _can_ do this in gretl, just not straight out of the box. What you want to use is the mle command. I'm attaching a script that shows you how to estimate a garch(1,1) model with a regressor in variance. It shouldn't be difficult to adapt it to your needs. You may want to read: 1) The gretl user guide, especially chapter 17 2) Lee Adkins' book (http://www.learneconometrics.com/gretl/ebook.pdf), especially the chapter on garch models. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti