[Gretl-users] fcast arch bug?

Allin Cottrell cottrell at wfu.edu
Sat Jun 16 16:29:58 EDT 2007


On Sat, 16 Jun 2007, Chris quoted me:

> 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.

Sorry, that "explanation" is wrong.  The arch command _used to_ 
work that way, but I rationalized the command at some point and 
now it's more standard: "arch" gives you an ARCH model, whether or 
not the ARCH effect is significant.  If you want to test for ARCH, 
you use the "lmtest" command with the --arch option.

The reason you were getting the message "no model has been 
estimated" is that in rationalizing the arch command I didn't get 
all the details right.  This is now fixed in CVS and the current 
Windows snapshot:

http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe

Allin


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