[Gretl-users] Constant in log-likelihood and graph of two densities together

Alecos Papadopoulos papadopalex at aueb.gr
Sun Jul 7 17:25:16 EDT 2013


Good evening everybody. I am rather new to Gretl and my questions are 
probably kindergarten-level, but I could not figure out the answers 
myself or using Help. So here they are

1) I run maximum likelihood from the script window. I am trying two 
different and non-nested stochastic specifications. I have to compare 
and evaluate them by using the value of the maximized log-likelihood. 
But since they are non-nested, their log-likelihood functions are 
totally different. So, suddenly, the constants of each log-likelihood, 
although they play no role in the estimation of the parameters, 
influence the value of the maximized logl - and they are different 
constants.
If I don't include them in the logl function, then the values of the 
maximized logl (and the AIC and BIC and HQ criteria) will be misleading 
for comparison purposes of the two competing stochastic specifications, 
and currently I am doing the corrections by hand (which I can live with).
But it would be nice not to have output that needs such corrections. I 
tried to include them in the specification of the logl after the "mle 
logl = " command. But when I tried to include them as, say, 
"ln(4/sqrt(2/pi))" or "ln(4/sqrt(2/%pi)) I get "syntax error on the 
command line". When I calculate them explicitly, say 0.45678 and enter 
this constant instead, Gretl runs, but the estimation goes astray, and 
produces different results than when the constant is not included. I 
suspect that this may have something to do with the fact that I do not 
specify analytical derivatives, but I really don't know. What am I doing 
wrong?

2) Again for comparison purposes, I would want to have in one graph the 
estimated densities of two series. But when I select two series the 
"Variable" menu becomes disabled, while in the "View" menu there are 
various graph options, but not the option to graph the estimated 
densities of the two series together. Is there a way around this?

Thank you.

-- 
Alecos Papadopoulos
Athens University of Economics and Business, Greece
Department of Economics
cell:+30-6945-378680
fax: +30-210-8259763
skype:alecos.papadopoulos



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