[Gretl-users] Re: combine figure and multivariate distributions

On Wed, Aug 10, 2022 at 8:17 AM Olasehinde Timmy <timmexdareal(a)gmail.com&gt; wrote: > > Let me express my second question clearly. > > I am trying to estimate multivariate garch models using the full information maximum likelihood method. I am quite familiar with the usage of the single equation type, but not with the system types. > > I thought there should be a way of representing the multivariate maximum likelihood in a matrix form for estimation purposes. My major concern is when there are many variables involved, and I believe representing the maximum likelihood in matrix form would make it easy. In a multivariate system it may perhaps be convenient to express the loglikelihood in matrix form (say, as a g x T matrix L, where g is the number of dependent variables and T the number of observations), but for use with gretl's "mle" you need to provide either a scalar value for the total loglikelihood (across variables and observations) or, preferably, a series or column vector containing the per-observation values. The notional L matrix would have to be "compressed". However, unless the dependent variables are mutually independent you presumably want to maximize their joint loglikelihood, which would not just be a matter of adding up individually calculated l_t's. Allin _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/