Re: [Gretl-users] error with heteroscedacity function.
On Tue, 4 May 2010, denis joubert wrote:
2010/5/3 Allin Cottrell <cottrell(a)wfu.edu>:
> The test libgretl was using for "weights all zero" was not really
> appropriate: it was that the sum of squares of the weight series
> equals machine zero. I've now modified this in CVS and your
> example runs. (The weights are extremely small, but not literally
> zero.)
thanks, i will get the cvs version :)
>
> However, the example is rather odd and this may explain gretl's
> complaints. The auxiliary regression for hsk estimation produces a
> perfect fit with the original dataset (T = 226), since you have
> 151 usable observations and 151 regressors (75 lags, 75 squares of
> lags, plus constant). Adding another observation gives one degree
> of freedom to the auxiliary regression, which seems to help
> matters.
the 151 observations with 151 regressors is only an example of the
problem i got, with 210 observations or more i got the same problem (I
added 1 observations at a time, and more I add observations more the
problem shows up)
does it mean i don't need to use hsk and should use only the auxiliary
regression function in order to predict next values ?
No, the auxiliary regression is predicting the error variance, not
the dependent variable. I wonder, though, why you reckon you need
75 lags in this model (other than, perhaps, to stress-test
libgretl!).
Allin Cottrell