[Gretl-users] About the MLE example for GARCH

[Riccardo (Jack) Lucchetti]

On Fri, 5 Oct 2007, yinung CYCU wrote:

> 2007/10/5, Riccardo (Jack) Lucchetti <r.lucchetti at univpm.it>:
>>
>>>> On Fri, 5 Oct 2007, yinung CYCU wrote:
>>
>>>> Could you please try to see what happens by appending the --verbose
>> switch
>>>> to mle?
>
>
> Yes. Please see below and thanks.
>

[...]

> Iteration 1: Log-likelihood = -1561.46147443
> Parameters:      0.00000      1.0000     0.40000     0.50000
> Gradients:        89.979     -296.97     -181.84     -396.60

[...]

> --- FINAL VALUES:
> Iteration 14: Log-likelihood = -1370.26343279 (steplength = 0.00032)
> Parameters:     0.060118     0.72499     0.23890     0.13263
> Gradients:    -0.0018076  0.00079581  -0.0017053   0.0013415
>

This is puzzling. I've tried replicating your results with CVS and 1.6.5 
on both Windows and Linux. I *can* replicate your problem, but only with 
the Windows version of 1.6.5. Could you please confirm that the current 
Windows snapshot works properly? You can download it from the following 
URL: http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe

Thanks

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti