On Tue, 4 May 2010, denis joubert wrote: > 2010/5/3 Allin Cottrell <cottrell(a)wfu.edu>: > > The test libgretl was using for "weights all zero" was not really > > appropriate: it was that the sum of squares of the weight series > > equals machine zero. I've now modified this in CVS and your > > example runs. (The weights are extremely small, but not literally > > zero.) > > thanks, i will get the cvs version :) > > > > However, the example is rather odd and this may explain gretl's > > complaints. The auxiliary regression for hsk estimation produces a > > perfect fit with the original dataset (T = 226), since you have > > 151 usable observations and 151 regressors (75 lags, 75 squares of > > lags, plus constant). Adding another observation gives one degree > > of freedom to the auxiliary regression, which seems to help > > matters. > > the 151 observations with 151 regressors is only an example of the > problem i got, with 210 observations or more i got the same problem (I > added 1 observations at a time, and more I add observations more the > problem shows up) > > does it mean i don't need to use hsk and should use only the auxiliary > regression function in order to predict next values ?
No, the auxiliary regression is predicting the error variance, not the dependent variable. I wonder, though, why you reckon you need 75 lags in this model (other than, perhaps, to stress-test libgretl!). Allin Cottrell
