Re: [Gretl-users] unobserved component model with stochastic volatility (UC-SV)
On Mon, 14 May 2012, Artur Tarassow wrote:
Dear gretl mailing list
some while ago, Peter Summers posted his translated code from Stock/Watson's
2007 paper (originally written in Gauss)
(URL: http://lists.wfu.edu/pipermail/gretl-users/2011-February/005897.html).
I tried to replicate some work, among them Stock/Watson's paper, but
unfortunately I do not get the same or at least similar results using Peter
Summer's code. Even though, the input parameters are as in the original Gauss
code.
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