Dear Gretl Mailing List Users,

My apologise to email you at this time of year. First of all, I wish that you will have a Merry Christmas which will come in less than 48 hours. I am honestly very grateful to join this mailing list, it is always very supportive.

Once I wrote an email in GRETL mailing list to ask help on how to code for the Maximum Likelihood Estimation to estimate the ACD model on GRETL and I have the great help from Prof. Lucchetti in this issue.

Now, I am begging for assistance again. It is still about the ACD model, but my specification is:

EP_DUR(t) = x0 + x1 P_DUR(t-1) + x2 EP_TIME(t-1) + x3 SPREAD (t-1)

where:

EPTIME is the expected duration

PTIME is the actual duration (i got the value of this series)

EPTIME is the expected duration at lag1

SPREAD is the spread at lag1; spread is difference between bid and ask (i got the value of this series)

I intend to apply Weilbull WACD (1,1) and Exponential EACD (1,1) to obtain the estimation of X0, x1, x2 and x3.

May question is where should I add the variable (SPREAD) in this model. I attached the previous GRETL program that Prof. Lucchetti wrote for me last time and my simple data in gdt. I am really sorry to disturb you all during this festive break. Many sincere thanks for any help and attention....

Kind regards,

Josephine

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