7:50 p.m.
Olá,
Utilizo o software GRETL (1.9.5cvs) para ajustar sistemas de equações simultâneas,
utilizando-se o método dos quadrados ordinários em 2 estágios. Observando-se o resultado
fornecido pelo mesmo, nota-se que as estatísticas "R²" e "R²" ajustado
são calculadas apenas para a primeira equação do sistema. Desta forma, teria como obter
tais estatísticas para a(s) outra(s) equação(s) do sistema? Caso não tenha, fica esta
sugestão.
Aguardo resposta.
Hello,
I am an user of GRETL (1.9.5cvs) to adjust simultaneous equations systems with the two
stages least squares method (TSLS). By observing the program output, I noticed that the
statistics "R²" and "R² adj." are only calculated for the first
equation of the system. In this way, is it possible to obtain such statistics for the
second (other) equation(s)? In case it isn't possible, it would be nice to see this
feature in the next versions of the program.
Awaiting response.
Att.,
Rodrigo Otávio Veiga de Miranda
Mestrando em Ciências Florestais - UNICENTRO - PR
42 9955 6976
38 8813 5790
31 9953 4041
9:03 a.m.
New subject: EGARCH parameter estimation via "gig" GUI
Hi, all :-)
I was wondering the following: in the Exponential GARCH(1,1) model there's a
parameter in addition to α, β and γ, and this is θ. gretl uses the
EGARCH(p,q) formulation without θ [θ multiplies the residuals in g(εt-1)].
If I need to make a forecast on t + n periods in the future, I would need
the θ estimated value: does anyone know how may I get that value?
Thank you,
Oscar
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1:43 p.m.
New subject: EGARCH parameter estimation via "gig" GUI
On Mon, 8 Aug 2011, Oscar Soppelsa wrote:
I was wondering the following: in the Exponential GARCH(1,1) model
there’s a parameter in addition to α, β and γ, and this is θ. gretl uses
the EGARCH(p,q) formulation without θ [θ multiplies the residuals in
g(εt-1)]. If I need to make a forecast on t + n periods in the future, I
would need the θ estimated value: does anyone know how may I get that
value?
Hmm; the parametrisation gig uses is reported in the pdf doc file as
equation 9. I don't quite get what kind of parametrisation for the EGARCH
model you're referring to. Could you be more explicit, please? If you
don't feel like writing the specification you have in mind for the
conditional variance, please provide a reference.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
9:58 p.m.
On Wed, 3 Aug 2011, Rodrigo Otávio Veiga de Miranda wrote:
I am an user of GRETL (1.9.5cvs) to adjust simultaneous equations
systems with the two stages least squares method (TSLS). By
observing the program output, I noticed that the statistics "R²"
and "R² adj." are only calculated for the first equation of the
system.
Hmm, I'm not seeing that here. If I estimate a system using tsls I
get an R-squared printed for each equation. If you're seeing
something different you'll have to give some more detail so we can
replicate the problem.
Allin Cottrell
4875
days inactive
4889
days old
3 comments
4 participants
participants (4)
-
Allin Cottrell -
Oscar Soppelsa -
Riccardo (Jack) Lucchetti -
Rodrigo Otávio Veiga de Miranda