Re: [Gretl-users] fcast arch bug?
On Sat, 16 Jun 2007, Chris quoted me:
The arch command is a bit unusual (this should be probably be
changed): it's a test, plus ARCH estimation _if_ the test if
significant. I suspect that in the case you're talking about the
ARCH effect is not significant, so no ARCH model is actually
returned.
Sorry, that "explanation" is wrong. The arch command _used to_
work that way, but I rationalized the command at some point and
now it's more standard: "arch" gives you an ARCH model, whether or
not the ARCH effect is significant. If you want to test for ARCH,
you use the "lmtest" command with the --arch option.
The reason you were getting the message "no model has been
estimated" is that in rationalizing the arch command I didn't get
all the details right. This is now fixed in CVS and the current
Windows snapshot:
http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
Allin