[Gretl-users] fcast arch bug?

Allin Cottrell cottrell at wfu.edu
Wed Jun 13 12:38:57 EDT 2007


On Tue, 12 Jun 2007, Chris wrote:

> When I try to use fcast after an arch command I get the error
> 
> ? fcast  fit2 --dynamic
> Can't do this: no model has been estimated yet
> 
> but when I replace the "arch 24" with "ols" the fcast command works fine. Is
> this a bug or am I missing something?

The arch command is a bit unusual (this should be probably be 
changed): it's a test, plus ARCH estimation _if_ the test if 
significant.  I suspect that in the case you're talking about the 
ARCH effect is not significant, so no ARCH model is actually 
returned.

Allin.



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