Am 28.02.2011 17:07, schrieb ajzhmkaven(a)hotmail.com:
> I got alpha1=0.21 and alpha2=0.23 using arch command and alpha1=0.41
> and alpha2=0.45 using garch command. Does this look like a error? Or
> I am not using the command correctly?
They certainly look quite different at first glance, but it
Hi, everyone,
I used the data in the attachment to run ARCH (2) and GARCH (0,2), i assumed
they would give me the same result but they did not.
I have the result showing in below:
ARCH (2)
arch 2 re const
Model 1: WLS (ARCH), using observations 3-7837 (n = 7835)
Dependent variable: re
Vari
So should I just use garch (0 2) for arch (2) ? And assume the garch (0 2) is
the right one?
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-Original Message-
From: Allin Cottrell
Sender: gretl-users-bounces(a)lists.wfu.edu
List-Post: gretl-users@gretlml.univpm.it
Date: Mon, 28 Feb
Dear all:
The formulation of the Schwarz Bayesian Information Criterion is -2 × L(θ)+ k
log n in gretl user`s guide.
But the gretl output of ARIMA seems cauculated by the formulation of-2 ×
L(θ)+ k ln n .
Is it log or ln ?
Thanks a lot
Dear all:
The Q statistic to test if the series is white noise in gretl is Box-Pierce Q
statistic, is it ?
But I can not find its formulation in gretl.
Is the formulation of Q statistic the same as the reference of Box & Pierce
(1970) ?
Thanks a lot
El 01/03/11 08:32, Sam Sam escribió:
> Dear all:
>
> The Q statistic to test if the series is white noise in gretl is
> Box-Pierce Q statistic, is it ?
If you are talking about what appears in the ouput text window of the
correlogram. I think although in the help it is said to be the
Box-Pierce
El 01/03/11 07:51, Sam Sam escribió:
> Dear all:
>
> The formulation of the Schwarz Bayesian Information Criterion is -2
> ×/L(θ)+ k //log n in /gretl user`s guide.
>
> But the gretl output of ARIMA seems cauculated by the formulation of -2
> ×/L(θ)+ k //ln n ./
> //
> /Is it log or ln ?/
> //
> /T
I am much more confused.
I estimate ARIMA by conditional maximum likelihood and choose the option
/residual correlogram/
The Q statistic is Ljung-Box statistic, not Box-Pierce Q statistic. Is it ?
I do not understand. Because I choose the option /help/ and it shows it is
Box-Pierce Q stastisi
Dear all,
Portmanteau testing for randomness
I'm thinking that you might read
p 310 Brockwell & Davis
p 111-112 Kendall and Ord
p 153 Cryer.
Q testing is fairly primitive. Considered by many to be unreliable.
But its your choice
Dr RJF Hudson Qld Australia
rjfhud(a)powerup.com.au
---
Dear all:
Question 1:
Is it Box-Piece Q statistic or Ljung-Box Q statistic in gretl?
Question2:
Q statistic is ditributed as chi-square,
degree of freedom is the numer of lags, or the numer of lags minus the number
of parameter estimated?
Thanks a lot
On Tue, 1 Mar 2011, Sam Sam wrote:
> Is it Box-Piece Q statistic or Ljung-Box Q statistic in gretl?
It's Ljung-Box, and the df is the number of lags.
http://en.wikipedia.org/wiki/Ljung%E2%80%93Box_test
Allin Cottrell
Dear Allin Cottrell,
Regards. Thank you for the mails. But my efforts are in vain. I am now
installed the previous version of Gretl 1.9.3. It is running. I can start
gretl in"d:\userdata\gretl\gretlw32.exe --debug": but a DOS window opens in
the background in which I cant read the things displayed.
On Tue, 1 Mar 2011, Desikan Srinivasan wrote:
> Regards. Thank you for the mails. But my efforts are in vain. I am now
> installed the previous version of Gretl 1.9.3. It is running. I can start
> gretl in"d:\userdata\gretl\gretlw32.exe --debug": but a DOS window opens in
> the background in which
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