I am sorry to bother you. But it is the first time i am using gretl,
and I am in a hurry to finish a task. So i am wondering the way it
deals with garch model. Say I want to do a Egarch or GJR-garch, and i
also want to include a regressor in the vairance process. Can gretl do
that? Becasue i know matlab can include regressors in mean process,
but not in the variance process. Thanks a lot!
On Tue, Jun 24, 2008 at 6:26 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Tue, 24 Jun 2008, Yifei Pei wrote:
> I never used Gretl before. And when i first downloaded and
> installed it, i dont have time series model and several other
> models. Btw, I use windows. So are there any other packages that
> I need to download too?
No, you just have to specify your dataset as time-series, panel,
or whatever. See the menu item
in the main window, or the "setobs" command.
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MSc of Financial Engineering
University of Michigan