[Gretl-users] fcast arch bug?
Chris
quilley at gmail.com
Sat Jun 16 11:57:01 EDT 2007
I finally made it to the computer where I'm running the regressions. When I
run an OLS regression on the model I'm testing and run the arch test I get
this output:
Test for ARCH of order 24
PARAMETER ESTIMATE STDERROR T STAT P-VALUE
alpha(0) 2.08514E+06 515100 4.048 0.00005 ***
alpha(1) 0.938152 0.0247825 37.855 <0.00001 ***
alpha(2) -0.0826077 0.0339689 -2.432 0.01513 **
alpha(3) -0.0205300 0.0340354 -0.603 0.54646
alpha(4) -0.0667144 0.0340145 -1.961 0.05001 *
alpha(5) 0.0127966 0.0339762 0.377 0.70650
alpha(6) -0.0590282 0.0337789 -1.747 0.08074 *
alpha(7) 0.0648604 0.0338031 1.919 0.05519 *
alpha(8) 0.0209728 0.0338221 0.620 0.53528
alpha(9) -0.0761478 0.0337007 -2.260 0.02398 **
alpha(10) 0.0724101 0.0336583 2.151 0.03160 **
alpha(11) -0.0280495 0.0337054 -0.832 0.40542
alpha(12) 0.0116758 0.0337173 0.346 0.72917
alpha(13) -0.00739561 0.0337165 -0.219 0.82641
alpha(14) 0.0106318 0.0337551 0.315 0.75283
alpha(15) 0.103602 0.0337038 3.074 0.00215 ***
alpha(16) -0.116552 0.0337181 -3.457 0.00056 ***
alpha(17) 0.00503461 0.0338357 0.149 0.88173
alpha(18) -0.0265224 0.0337809 -0.785 0.43249
alpha(19) 0.141321 0.0337470 4.188 0.00003 ***
alpha(20) -0.0856709 0.0339276 -2.525 0.01166 **
alpha(21) 0.0519347 0.0339545 1.530 0.12633
alpha(22) -0.0276832 0.0339709 -0.815 0.41524
alpha(23) 0.0396563 0.0339167 1.169 0.24248
alpha(24) -0.00949085 0.0246846 -0.384 0.70067
Null hypothesis: no ARCH effect is present
Test statistic: TR^2 = 1182.98
with p-value = P(Chi-Square(24) > 1182.98) = 1.04224e-234
The p-value is essentially zero, so I should be rejecting the null
hypothesis and there should be a model availalbe for forecasting when I run
the arch command then correct?
Thanks,
Chris
On 6/13/07, Chris <quilley at gmail.com> wrote:
>
> when I run the arch command I get an arch model returned and can see that
> it is significant. Furthermore, when I run the arch command through the gui
> I get the same model returned and I can estimate using fcasterr through the
> gui to my hearts content. I'm not at the computer where I am running the
> model right now, but when I am I will try and get you some output.
>
> Chris
>
> On 6/13/07, Allin Cottrell <cottrell at wfu.edu> wrote:
> >
> > 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.
> >
> > _______________________________________________
> > Gretl-users mailing list
> > Gretl-users at lists.wfu.edu
> > http://lists.wfu.edu/mailman/listinfo/gretl-users
> >
>
>
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