The new build of Gretl did fix my problems. Thank you very much for your quick
response and your help! Now we can continue to use Gretl in my class without
having to resort to other packages. Regards.
- Blaise Roncagli
Allin Cottrell wrote:
> On Tue, 26 Oct 2004, Blaise Roncagli wrote:
>
> > Thanks for the quick response. I have attached a dataset called
> > "sampledata.xls" that contains the following returns time series data:
> > NASDAQ, TBILL3 (3-month US treasury Bills). When running ARMA(1,1) and
> > GARCH(1,1) models on this data using Gretl 1.2.9 (build date 7/23/2004) on
> > the PC platform I get the following results:
> >
> > NASDAQ: ARMA - no convergence, GARCH - runs OK
> > TBILL3: ARMA - no convergence, GARCH - no convergence
>
> Thanks very much for the sample data. I wonder if perhaps there is
> an issue of conversion of the data from Excel -- in particular, if
> missing values are being handled correctly by gretl. I'm attaching
> a version of the data in gretl format. My findings are
>
> * ARMA(1,1) works OK for both series
> * GARCH(1,1), using the current CVS code, works for NASDAQ, but not
> for TBILL3
>
> Looking at a time series plot of TBILL3, I'm not surprised that a
> univariate GARCH routine has a hard time (in fact, I'm quite
> surprised that R could produce estimates). The huge spike in the
> T-bill rate in the early 1980s just doesn't look like a case of
> conditional heteroskedasticity. But I'll try running R on the data
> tomorrow.
>
> For Windows, you can get a current snapshot, which is close to the
> final 1.3.0 release, at
>
> ftp://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
>
> Allin Cottrell
>
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