Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: Using Gretl API for C++ Program (Allin Cottrell) 2. garchTFit estimation failed (Matteo Chinazzi) 3. Re: garchTFit estimation failed (Riccardo (Jack) Lucchetti) ---------------------------------------------------------------------- Message: 1 Date: Mon, 5 Jul 2010 14:46:03 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] Using Gretl API for C++ Program To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <Pine.A41.4.58.1007051401270.1093994(a)f1n11.sp2net.wfu.edu&gt; Content-Type: TEXT/PLAIN; charset=US-ASCII On Sun, 4 Jul 2010, Joel Bycraft wrote: > I am approaching the library in this way as I need to run > estimation on a window of data, and then increment forward > throughout a time series period, with a moving window. So, for > each period t, I need to estmate the residuals from the previous > X days, based on a regression from the same previous x days. On > day t+1 is another regression, etc. > > If you have a preferred way for me to do this, certainly let me > know... You can do something like this: open data9-7 series uhat # the first five-year window smpl 1975:1 1979:4 loop 10 ols 1 0 2 --quiet uhat = $uhat print uhat # or do something else with it # advance the window by one quarter smpl +1 +1 endloop > I have it all working with OLS at the moment, I can get > residuals and it matches gretl. The only thing missing is the > coefficients of the constant and independent variable... [ trouble with gretl_model_get_matrix() ] I just tested here with the following code (assuming that Z and the DATAINFO pointer pdinfo and present and correct): <code-fragment> MODEL *model = gretl_model_new(); int list[] = {3, 1, 0, 2}; gretl_matrix *b; *model = lsq(list, &Z, pdinfo, OLS, OPT_NONE); if (model->errcode) { pprintf(prn, "Got error %d estimating model\n", model->errcode); } else { b = gretl_model_get_matrix(model, M_COEFF, &err); if (err) { pprintf(prn, "Got error %d grabbing coeffs\n", err); } else { gretl_matrix_print_to_prn(b, "coeffs", prn); gretl_matrix_free(b); } } gretl_model_free(model); </code-fragment> The grabbing of a matrix via gretl_model_get_matrix() worked fine. Allin Cottrell ------------------------------ Message: 2 Date: Tue, 6 Jul 2010 11:38:44 +0200 From: Matteo Chinazzi <matteo.chinazzi(a)gmail.com&gt; Subject: [Gretl-users] garchTFit estimation failed To: gretl-users(a)lists.wfu.edu Message-ID: <AANLkTimoLCZS5J93cWtLklhiFV3fgmKNV6p-IIbpcP5U(a)mail.gmail.com&gt; Content-Type: text/plain; charset="iso-8859-1" Dear list members, do you have any idea about this error message using garchTFit method? Model: GARCH(1,1) [Bollerslev] (Student's t) Sample size: 661 observations, VCV method: Robust ************************************************* * ESTIMATION FAILED (Sorry!) * * Error code = 33 * ************************************************* Is there any documentation for the package gig.gfn? Best regards, Matteo Chinazzi *PhD student @ Sant'Anna School of Advanced Studies - Pisa (Italy)* -------------- next part -------------- An HTML attachment was scrubbed... URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20100706/35e8e5ae/... ------------------------------ Message: 3 Date: Tue, 6 Jul 2010 11:51:01 +0200 (CEST) From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; Subject: Re: [Gretl-users] garchTFit estimation failed To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.DEB.2.00.1007061149530.3220(a)ec-4.econ.univpm.it&gt; Content-Type: text/plain; charset="iso-8859-1" On Tue, 6 Jul 2010, Matteo Chinazzi wrote: > Dear list members, > > do you have any idea about this error message using garchTFit method? > > Model: GARCH(1,1) [Bollerslev] (Student's t) > Sample size: 661 observations, VCV method: Robust > > ?? ************************************************* > ?? *?????????? ESTIMATION FAILED (Sorry!)?? * > ?? *?????????? Error code =?? 33????????????????? ? ?? * > ?? ************************************************* > > Is there any documentation for the package gig.gfn? Where did you get gig from? There should be an accompanying pdf file. Riccardo (Jack) Lucchetti Dipartimento di Economia Universit? Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 42, Issue 8 ******************************************