10:22 p.m.
Dear Prof.
Please, my question is two-fold.
First, I have been working on structural VAR/VEC models. However, I would
like to know how to combine and plot the graphs and probably name each
before plotting the graphs.
Second, I would like to know how to use Hansl to handle multivariate
likelihood estimation using vector or matrix form (if possible).
Thanks
6:19 a.m.
Am 10.08.22 um 00:22 schrieb Olasehinde Timmy:
Hi Olasehinde,
I am not fully sure that I understand you. But if you would like to
combine multiple plots to a single one, you may want to check out the
multiplot package:
http://gretl.sourceforge.net/current_fnfiles/multiplot.gfn
Best,
Artur
12:17 p.m.
Thanks for your response, sir.
I think the first question is clear.
Let me express my second question clearly.
I am trying to estimate multivariate garch models using the full
information maximum likelihood method. I am quite familiar with the usage
of the single equation type, but not with the system types.
I thought there should be a way of representing the multivariate maximum
likelihood in a matrix form for estimation purposes. My major concern is
when there are many variables involved, and I believe representing the
maximum likelihood in matrix form would make it easy.
I don't know if you understand me better now.
Thanks.
On Wed, 10 Aug 2022 at 07:19, Artur T. <atecon(a)posteo.de> wrote:
12:59 p.m.
On Wed, Aug 10, 2022 at 8:17 AM Olasehinde Timmy <timmexdareal(a)gmail.com> wrote:
In a multivariate system it may perhaps be convenient to express the
loglikelihood in matrix form (say, as a g x T matrix L, where g is the
number of dependent variables and T the number of observations), but
for use with gretl's "mle" you need to provide either a scalar value
for the total loglikelihood (across variables and observations) or,
preferably, a series or column vector containing the per-observation
values. The notional L matrix would have to be "compressed".
However, unless the dependent variables are mutually independent you
presumably want to maximize their joint loglikelihood, which would not
just be a matter of adding up individually calculated l_t's.
Allin
1:23 p.m.
On Wed, Aug 10, 2022 at 9:07 AM Olasehinde Timmy <timmexdareal(a)gmail.com> wrote:
On the MLE estimation, do you have a note or example on how to go about this in gretl?
See chapter 26 of the Gretl User's Guide, "Maximum likelihood
estimation". You may also find useful the hansl code in Jack
Lucchett's MGARCH package.
Allin
2:14 p.m.
Moreover, in the first question, I discovered that I was not able to use
the multiplot function to combine the extracted.png graphs from the SVAR
estimation window.
I would like to know how to go about this.
On Wed, Aug 10, 2022, 2:23 PM Cottrell, Allin <cottrell(a)wfu.edu> wrote:
1 p.m.
Moreover, in the first question, I discovered that I was not able to use
the multiplot function to combine the extracted.png graphs from the SVAR
estimation window.
I would like to know how to go about this.
Thanks
On Wed, 10 Aug 2022 at 13:17, Olasehinde Timmy <timmexdareal(a)gmail.com>
wrote:
5:05 p.m.
Thanks for your response, sir.
Actually, what I did was that I initially estimated an SVEC model using the
interface, and I saved each of the impulse response graphs in.png format in
a folder I created on the desktop.
Then I clicked on the multiplot functions and the attached interface popped
up, I included the names of those graphs in the input file path and the
folder address in the output file path and I got an error message.
? multiplot("f1" "f2" "f3" "f4", null, 2, 2,
null)
multiplot("f1" "f2"
Expected ')'
but found 'f2'
Thanks
On Wed, 10 Aug 2022 at 21:29, Artur T. <atecon(a)posteo.de> wrote:
1:42 p.m.
Am 12.08.2022 um 13:05 schrieb Olasehinde Timmy:
Hi, sorry for the delay, both Artur and I (co-authors of the multiplot
package) have been on vacation.
Your input '"f1" "f2" "f3" "f4"' cannot
work there. I admit that the
term "strings" may suggest such an input, but what's meant is the gretl
object of an array of strings. See the sample script for examples. So in
the GUI input field you would need to write something like
'defarray("f1","f2","f3","f4")' (without
the surrounding single quotes).
I agree that this is not very user-friendly and maybe we should add a
convenience wrapper function where you would be allowed to write
something like your original input instead, which would then be
processed internally. But that's one reason the version number is only
at 0.2 right now.
cheers
sven
8:39 p.m.
Thanks for your response, sir.
However, I found it difficult to implement the package because it seems to
work with the GNU plot.
What I am trying to do is that I want to combine plots from the SVEC model
with the multiplot.
Or is there is way to do this that I wasn't aware of?
Thanks.
On Wed, 17 Aug 2022 at 14:42, Sven Schreiber <sven.schreiber(a)fu-berlin.de>
wrote:
11:20 p.m.
Am 17.08.2022 um 16:39 schrieb Olasehinde Timmy:
Well, the multiplot package is really just a generic workaround, a bit
of a "dirty hack". Yes, like all the plotting functionaliy in gretl this
will invoke gnuplot. Of course you could also simply produce your plots
from the SVAR/SVEC packages, say in PDF format, and then use an external
PDF editor to arrange them how you like them.
Do you want to combine several individual IRF plots, or what exactly are
we talking about here?
thanks
sven
3:43 p.m.
Am 18.08.2022 um 02:42 schrieb Olasehinde Timmy:
Yes, OK, so the combined plot from the built-in / native VAR/VECM
functionality is a feature we do not have yet in the SVAR (and by
implication, neither in the SVEC_GUI) package. You would either have to
combine them manually using external tools or use the multiplot package,
whatever you find more convenient.
cheers
sven
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participants (4)
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Artur T. -
Cottrell, Allin -
Olasehinde Timmy -
Sven Schreiber