10:29 a.m.
The monthly data from 1980M1 to 1990M12(the number of samples is 132).
When estimating the model,
The using observations of ARIMA(1,1,1) : 1980M3 to 1990M12. (number:130)
The using observations of ARIMA(2,1,0):1980M4 to 1990M12. (number:129)
The using observations of ARIMA(1,1,0)(1,1,0)12:1983M3 to 1990M12. (number:106)
Can I compare AIC or BIC of these three models when the number of using observations are
different ?
In the equation of BIC, number of observations is included.
In the equation of AIC, number of observations is not included.
When the number of using observations are different, Can I still compare AIC or BIC of
these three models?
How do I choose model by AIC or BIC in gretl?
11 a.m.
New subject: MLE of time series distribution
Hi all,
I'm reading the manual, but I don't find how to estimate the pdf parameters
of a time series. Suppose I load in gretl a time series X, I think that X
follows a t-Student pdf but I don't know the degrees of freedom. How may I
calculate the dof using MLE?
Thank you,
Oscar
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10:09 p.m.
New subject: MLE of time series distribution
Oscar
Set up as a standard maximum likelihood maximisation program as in
Chapter 10 of the users guide. You can use pdf function to calculate
your likelihood or code it directly. As far as I can remember the pdf
function for the t-distribution can take non integer degrees of
freedom so your maximum likelihood estimate of the number of degrees
of freedom will almost certainly not be an integer.
Are you sure that your data have a standard t-distribution. Otherwise
you may need to make some adjustment for the mean and variance of the
data. There is an extended version of the t-distribution that allows
one to estimate a non-zero mean, nonunitary scale and degrees of
freedom using maximum likelihood. See Weitzman (2007), Subjective
expectations and asset-return puzzles, American Economic Review 97(4)
1102-1130. The required form of the pdf is given on page 126 of
http://www.tcd.ie/Economics/staff/frainj/Stable_Distribution/thesis_main_....
Best Regards
John Frain
On 25 July 2011 12:00, Oscar Soppelsa <oscar.soppelsa(a)bancaakros.it> wrote:
Hi all,
I’m reading the manual, but I don’t find how to estimate the pdf parameters
of a time series. Suppose I load in gretl a time series X, I think that X
follows a t-Student pdf but I don’t know the degrees of freedom. How may I
calculate the dof using MLE?
Thank you,
Oscar
________________________________
==============================
DISCLAIMER:
This e-mail is for the sole use of the intended recipient and any file
transmitted with it may contain material that is confidential and
privileged. If you are not the intended recipient of this e-mail, please do
not read this e-mail and delete this message and any file attached from your
system and then notify us immediately by reply e-mail or by telephone. You
should not copy or use this message and any file attached for any purpose,
disclose the contents of the same to any other person or forward them
without express permission by us. Considering the means of transmission, we
do not undertake any liability with respect to the secrecy and
confidentiality of the information contained in this e-mail and in its
attachments.
Il presente messaggio di posta elettronica e' ad esclusivo utilizzo del
destinatario indicato in indirizzo e gli eventuali documenti allegati
potrebbero avere carattere riservato. Qualora non foste il destinatario del
presente messaggio Vi preghiamo non leggerlo, di cancellarlo dal Vostro
sistema assieme ad ogni documento ad esso allegato e di volerci avvertire
immediatamente tramite posta elettronica o telefonicamente. E' vietata la
duplicazione o l'utilizzo per qualunque fine del presente messaggio e di
ogni documento ad esso allegato cosi' come la relativa divulgazione,
distribuzione o inoltro a terzi senza l'espressa autorizzazione del
mittente. Il mittente, in ragione del mezzo di trasmissione utilizzato, non
assume alcuna responsabilita' in merito alla segretezza e riservatezza delle
informazioni contenute nel presente messaggio e nei relativi allegati.
==============================
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John C Frain
Economics Department
Trinity College Dublin
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2 comments
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participants (3)
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Sam Sam