Hello Sven,
And thank you fore the response. I just used the OPG option and still I get
this:
[image: screenshot_1898.jpg]
Still no convergence.
PG
*Periklis Gogas
<
http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
<
https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/>
Euro Area Business Cycle Network - Fellow
<
http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<
http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<
http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<
http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
Σύγχρονοι Ελληνικοί Μύθοι
<
http://www.public.gr/product/syghronoi-ellinikoi-mythoi/prod9040056pp/?so...
- το νέο μου βιβλίο
On Thu, Jun 21, 2018 at 3:24 PM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 21.06.2018 um 12:52 schrieb Periklis Gogas:
And using Eviews with exactly the same specification and data I get this:
I don't have an explanation (not knowing very well what happens inside the
Garch or gig/GARCH routines), but it is not strictly true that it is the
same specification: In gretl you used the default "sandwich" for the VCV,
and Eviews says "outer product of gradients". You could try to use OPG in
gretl as well and tell us what happens.
It would certainly be interesting whether Eviews gets it right, or just
gets "something".
cheers,
sven
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