[Gretl-users] arima + arch ?

[Chris]

Also,

Thank you, the pointers on i fixed that problem and the regression is
running now.

Chris


On 6/7/07, Chris <quilley at gmail.com> wrote:
>
> Hi,
>
> The actual model isn't just based on the Y variable, it's of the form y =
> B1 + B2*X2 + B3*X3 . in your example you seem to generate only a Y variable
> and doing everything with the Y variable. I think the major problem here is
> I may not be understanding what I'm doing;) in gretl, when you run an arima
> model it estimates a bunch of stuff (the arima process) and then estimates
> the betas on your other explanatory variables. The same happens when you
> estimate a garch process. The output for the script only generates estimates
> of the arma process variables and the garch process variables. I'm trying to
> figure out how to estimate the coefficients on the other explanatory
> variables as well...
>
> I really appreciate your help,
>
> Sincerely,
>
> Chris
>
>
>  On 6/7/07, Riccardo (Jack) Lucchetti <r.lucchetti at univpm.it> wrote:
>
> > On Thu, 7 Jun 2007, Chris wrote:
> >
> > > Hi,
> > > Your script is confusing me a bit;)
> > >
> > > so if I had an arch process that was arch 24 and arima 1 1 would I
> > change
> > > the script to this:
> > >
> >
> > I'm reaaly on the run, but a few quick comments:
> >
> > >
> > > function filter(series y, \
> > > scalar arpar, scalar mapar, \
> > > scalar om, scalar alpha1, scalar alpha2, \
> > > scalar alpha3, scalar alpha4, scalar alpha5, \
> > > scalar alpha6, scalar alpha7, scalar alpha8, \
> > > scalar alpha9, scalar alpha10, scalar alpha11, \
> > > scalar alpha12, scalar alpha13, scalar alpha14, \
> > > scalar alpha15, scalar alpha16, scalar alpha17, \
> > > scalar alpha18, scalar alpha19, scalar alpha20, \
> > > scalar alpha21, scalar alpha22, scalar alpha23, \
> > > scalar alpha24, \
> > > series *e, series *h)
> >
> > Believe me, you *want* to use a vector here; besides, why don't you
> > collapse such a long arch part to a nice garch part?
> >
> > >
> > > scalar err = 0
> > > scalar T = $nobs
> > > series e = 0
> > > series h =
> > >
> > om/(1-alpha1-alpha2-alpha3-alpha4-alpha5-alpha6-alpha7-alpha8-alpha9-alpha10-alpha11-alpha12-alpha13-alpha14-alpha15-alpha16-alpha17-alpha18-alpha19-alpha20-alpha21-alpha22-alpha23-alpha24)
> >
> > Again, use a vector. And be sure to check for \sum \alpha_i < 1.
> >
> > > loop for i=2..T --quiet
> > >   scalar e2lag = e[i-1]^2
> > >   scalar e3lag = e[i-2]^2
> > ...
> >
> > well, in this case the loop shouldn't start from 2, should it? In your
> > case, you ought to start from 25 (when i==2, i-2 is, well, zero)
> >
> > > When I run this I get the error "Bad character 'i' in date string" and
> > the
> > > script halts.
> >
> > see above
> >
> > > Also, the script only appears to output the estimated alphas
> > > and arima coefficients. How would I modify this to get a more garch
> > like
> > > output with coefficients estimated for the function total = B1 + B2*X2
> > +
> > > B3*X3? i.e how do I get it to estimate the B's as well?
> >
> > Sorry? I don't quite understand what you mean here.
> >
> >
> >
> > Riccardo (Jack) Lucchetti
> > Dipartimento di Economia
> > Università Politecnica delle Marche
> >
> > r.lucchetti at univpm.it
> > http://www.econ.univpm.it/lucchetti
> > _______________________________________________
> > Gretl-users mailing list
> > Gretl-users at lists.wfu.edu
> > http://lists.wfu.edu/mailman/listinfo/gretl-users
> >
>
>
-------------- next part --------------
An HTML attachment was scrubbed...
URL: http://lists.wfu.edu/pipermail/gretl-users/attachments/20070607/13a6e28d/attachment.htm