[Gretl-users] maximum like. conditions

Davor Horvatic davorh at phy.hr
Sun Nov 29 05:31:46 EST 2009


I'm working with different GARCH models and I trying to determine 
parameters.
For test case I took example from user guide and applied restirction to the
parameters as stated in user manual, code is in the end of the mail. All 
I get
is:

Syntax error in command line
Error executing script: halting

What am I doing wrong ?

Thanks,
Davor

open djclose
series y = 100*ldiff(djclose)
scalar mu = 0.0
scalar omega = 1
scalar alpha = 0.4
scalar beta = 0.0
mle ll = check ? (-0.5*(log(h) + (e^2)/h)) : NA
series e = y - mu
series h = var(y)
series h = omega + alpha*(e(-1))^2 + beta*h(-1)
scalar check = (alpha>0) & (beta>0)
params mu omega alpha beta
end mle


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