6:22 a.m.
Hi,
I have prepared a function to estimate stochastic volatility models with
three different QML procedures (which I attach with a datafile).
The first procedure is the classic QML, while the other two use
time-varying state space models, so they use update functions.
The script runs fine with all the procedures, Jack has already seen it.
However, after creating the package, only the first procedure works
well, while with the other two I get the message:
This function needs a dataset in place
The formula 'ERR = kfilter(&SVM)'
produced an error on execution
*** error in function svm_qm2, line 133
I think the problem concerns the update functions.
What is not working?
Thanks,
Paolo
--
Paolo Chirico
RU e Prof.Agg. di Statistica Economica
Università del Piemonte Orientale
Dip. di Giurisprudenza e Scienze Politiche,
Economiche e Sociali (DIGSPES)
Alessandria, Italia
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6:43 a.m.
On 10.03.2025 12:22, Paolo Chirico wrote:
Hi,
I have prepared a function to estimate stochastic volatility models
with three different QML procedures (which I attach with a datafile).
The first procedure is the classic QML, while the other two use
time-varying state space models, so they use update functions.
The script runs fine with all the procedures, Jack has already seen it.
However, after creating the package, only the first procedure works
well, while with the other two I get the message:
This function needs a dataset in place
The formula 'ERR = kfilter(&SVM)'
produced an error on execution
*** error in function svm_qm2, line 133
I think the problem concerns the update functions.
What is not working?
Hi
using:
open nasdaq.gdt
bundle Mod3 = svm_qm2(r,3,0,1,1,10)
instead of just:
bundle Mod3 = svm_qm2(r,3,0,1,1,10)
solves the problem on my machine.
Marcin
7:55 a.m.
Marcin,
I'm not sure I have understood your message.
You state that:
1) you have created a package (e.g. named svm_qml.gfn)
2) you have ran the script:
/ include svm_qml.gfn /(if you have created a package, you have to
include the package in your script!)
/ open nasdaq.gdt
bundle Mod3 = svm_qm2(r,3,0,1,1,10)/
3) and everything works fine on your PC
Is that so?
On my PC (even with gretl 2024d) no! :(
On my machine, as said, the crude script (with all functions) works
well? The package doesn't!
Paolo
Il 10/03/2025 12:43, Marcin Błażejowski ha scritto:
On 10.03.2025 12:22, Paolo Chirico wrote:
> Hi,
> I have prepared a function to estimate stochastic volatility models
> with three different QML procedures (which I attach with a datafile).
> The first procedure is the classic QML, while the other two use
> time-varying state space models, so they use update functions.
> The script runs fine with all the procedures, Jack has already seen it.
> However, after creating the package, only the first procedure works
> well, while with the other two I get the message:
>
> This function needs a dataset in place
> The formula 'ERR = kfilter(&SVM)'
> produced an error on execution
> *** error in function svm_qm2, line 133
>
>
> I think the problem concerns the update functions.
> What is not working?
Hi
using:
open nasdaq.gdt
bundle Mod3 = svm_qm2(r,3,0,1,1,10)
instead of just:
bundle Mod3 = svm_qm2(r,3,0,1,1,10)
solves the problem on my machine.
Marcin
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--
Paolo Chirico
RU e Prof.Agg. di Statistica Economica
Università del Piemonte Orientale
Dip. di Giurisprudenza e Scienze Politiche,
Economiche e Sociali (DIGSPES)
Alessandria, Italia
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8:26 a.m.
Am 10.03.2025 um 13:55 schrieb Paolo Chirico:
Marcin,
I'm not sure I have understood your message.
You state that:
1) you have created a package (e.g. named svm_qml.gfn)
2) you have ran the script:
/ include svm_qml.gfn /(if you have created a package, you have to
include the package in your script!)
/ open nasdaq.gdt
bundle Mod3 = svm_qm2(r,3,0,1,1,10)/
3) and everything works fine on your PC
Is that so?
On my PC (even with gretl 2024d) no! :(
On my machine, as said, the crude script (with all functions) works
well? The package doesn't!
Paolo, since it is your package candidate that fails somehow, it would
make sense to share that candidate gfn file. Otherwise it's almost
impossible to diagnose the problem.
Just one shot in the dark for now: a gretl function package needs to
specify if it can live without an active dataset; the default is that
"some sort of dataset" (undated, time series, panel) is needed. Perhaps
that is a setting that you need to change.
cheers
sven
9:10 a.m.
On Mon, Mar 10, 2025 at 7:22 AM Paolo Chirico <paolo.chirico(a)uniupo.it>
wrote:
Hi,
I have prepared a function to estimate stochastic volatility models with
three different QML procedures (which I attach with a datafile).
The first procedure is the classic QML, while the other two use
time-varying state space models, so they use update functions.
The script runs fine with all the procedures, Jack has already seen it.
However, after creating the package, only the first procedure works well,
while with the other two I get the message:
This function needs a dataset in place
The formula 'ERR = kfilter(&SVM)'
produced an error on execution
*** error in function svm_qm2, line 133
I think the problem concerns the update functions.
What is not working?
Website:
https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
Paolo,
Your package should work if you set its "data-requirement" to
"no-data-ok"
(either via spec file or the packaging GUI).
I have to say that at this point I don't understand why that's necessary,
but I'll try investigating further.
Allin
10:01 a.m.
On Mon, Mar 10, 2025 at 10:10 AM Cottrell, Allin <cottrell(a)wfu.edu> wrote:
On Mon, Mar 10, 2025 at 7:22 AM Paolo Chirico <paolo.chirico(a)uniupo.it> wrote:
>
> I have prepared a function to estimate stochastic volatility models with three
different QML procedures (which I attach with a datafile).
> The first procedure is the classic QML, while the other two use time-varying state
space models, so they use update functions.
> The script runs fine with all the procedures, Jack has already seen it.
> However, after creating the package, only the first procedure works well, while with
the other two I get the message:
>
> This function needs a dataset in place
> The formula 'ERR = kfilter(&SVM)'
> produced an error on execution
> *** error in function svm_qm2, line 133
Paolo,
Your package should work if you set its "data-requirement" to
"no-data-ok" (either via spec file or the packaging GUI).
I have to say that at this point I don't understand why that's necessary, but
I'll try investigating further.
OK, now I see what was happening. The error was, as you thought,
related to the TV* updater functions. But there was nothing wrong with
your hansl code, rather the built-in kfilter() function was performing
a misguided check on the updaters. This is now fixed in git, and the
fix will be in gretl 2025a, due out soon. In the meantime a
not-very-nice workaround is as I said: pretend that your package
doesn't need a dataset in place.
Allin
3:30 p.m.
Allin,
thank you for pointing out the problem.
Since I am preparing a paper on this function for the Gretl Conference
in Edinburgh, I hope to have the package finished by then.
Paolo
Il 10/03/2025 16:01, Cottrell, Allin ha scritto:
On Mon, Mar 10, 2025 at 10:10 AM Cottrell, Allin
<cottrell(a)wfu.edu> wrote:
> On Mon, Mar 10, 2025 at 7:22 AM Paolo Chirico <paolo.chirico(a)uniupo.it> wrote:
>> I have prepared a function to estimate stochastic volatility models with three
different QML procedures (which I attach with a datafile).
>> The first procedure is the classic QML, while the other two use time-varying
state space models, so they use update functions.
>> The script runs fine with all the procedures, Jack has already seen it.
>> However, after creating the package, only the first procedure works well, while
with the other two I get the message:
>>
>> This function needs a dataset in place
>> The formula 'ERR = kfilter(&SVM)'
>> produced an error on execution
>> *** error in function svm_qm2, line 133
> Paolo,
>
> Your package should work if you set its "data-requirement" to
"no-data-ok" (either via spec file or the packaging GUI).
>
> I have to say that at this point I don't understand why that's necessary, but
I'll try investigating further.
OK, now I see what was happening. The error was, as you thought,
related to the TV* updater functions. But there was nothing wrong with
your hansl code, rather the built-in kfilter() function was performing
a misguided check on the updaters. This is now fixed in git, and the
fix will be in gretl 2025a, due out soon. In the meantime a
not-very-nice workaround is as I said: pretend that your package
doesn't need a dataset in place.
Allin
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--
Paolo Chirico
RU e Prof.Agg. di Statistica Economica
Università del Piemonte Orientale
Dip. di Giurisprudenza e Scienze Politiche,
Economiche e Sociali (DIGSPES)
Alessandria, Italia
--
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4:22 p.m.
Am 10.03.2025 um 21:30 schrieb Paolo Chirico:
Allin,
thank you for pointing out the problem.
Since I am preparing a paper on this function for the Gretl Conference
in Edinburgh, I hope to have the package finished by then.
Right, but please book your travel to Birmingham instead, because that's
where the conference will be :-)
cheers
sven
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7 comments
4 participants
participants (4)
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Cottrell, Allin -
Marcin Błażejowski -
Paolo Chirico -
Sven Schreiber