I am a new user to Gretl, and am using version 1.2.9. I have noticed that frequently when I attempt to run an ARMA or GARCH model I get a message "Convergence Criteria not met". I know what this means, but it seems to happen frequently with data sets that do not experience this problem when I use them in "R" or other packages. Is this a known problem, or is there some parameter I need to adjust to make this go away?

On Mon, 25 Oct 2004, Blaise Roncagli wrote: > I am a new user to Gretl, and am using version 1.2.9. I have noticed > that frequently when I attempt to run an ARMA or GARCH model I get a > message "Convergence Criteria not met". I know what this means, but it > seems to happen frequently with data sets that do not experience this > problem when I use them in "R" or other packages. Is this a known > problem, or is there some parameter I need to adjust to make this go > away? It is a known problem with gretl's GARCH function, and I think it is fixed for the forthcoming version 1.3.0. In the meantime you should be able to work around the problem by defining a new variable that is a scaled version of the original dependent variable (call it Y): genr s = sd(Y) genr Yscale = Y/s then run GARCH on Yscale. As for ARMA, I'm not so sure. Could you send me an example of a data file that is processed OK by R but not gretl? That would be helpful in troubleshooting. Thanks. Allin Cottrell

On Tue, 26 Oct 2004, Blaise Roncagli wrote: > Thanks for the quick response. I have attached a dataset called > "sampledata.xls" that contains the following returns time series data: > NASDAQ, TBILL3 (3-month US treasury Bills). When running ARMA(1,1) and > GARCH(1,1) models on this data using Gretl 1.2.9 (build date 7/23/2004) on > the PC platform I get the following results: > > NASDAQ: ARMA - no convergence, GARCH - runs OK > TBILL3: ARMA - no convergence, GARCH - no convergence Thanks very much for the sample data. I wonder if perhaps there is an issue of conversion of the data from Excel -- in particular, if missing values are being handled correctly by gretl. I'm attaching a version of the data in gretl format. My findings are * ARMA(1,1) works OK for both series * GARCH(1,1), using the current CVS code, works for NASDAQ, but not for TBILL3 Looking at a time series plot of TBILL3, I'm not surprised that a univariate GARCH routine has a hard time (in fact, I'm quite surprised that R could produce estimates). The huge spike in the T-bill rate in the early 1980s just doesn't look like a case of conditional heteroskedasticity. But I'll try running R on the data tomorrow. For Windows, you can get a current snapshot, which is close to the final 1.3.0 release, at ftp://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe Allin Cottrell ------------------------------------------------------------------------ Name: blaise.gdt blaise.gdt Type: Plain Text (TEXT/PLAIN) Encoding: BASE64

On Tue, 26 Oct 2004, Blaise Roncagli wrote: > Thanks for the quick response. I have attached a dataset called > "sampledata.xls"... I'm currently trying to do a comparison of GARCH results from gretl and R (the ARMA results seem pretty much the same). My problem at present is that I can't get R to produce any sensible GARCH estimates. I'm using R 2.0.0 on Linux, with the "tseries" library version 0.9-23. With Blaise's two series, and also with the benchmark Bollerslev-Ghysels dataset, the GARCH "a1" and "b1" estimates are printed as "0.050000", regardless of the particular series used. (I have printed the series out from R to check that the data are right.) The B-G results do not remotely resemble the benchmark results.