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st: GARCH program


From   "Li Chuntao" <chtl@econ.hku.hk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: GARCH program
Date   Thu, 11 Dec 2003 21:45:37 -0800

Dear Listers,

    I am currently using stata 7.0 SE. My concern is that the ARCH command
in stata maybe not stable. I have run some garch estimation many times. the
estimation will give error message occationly, depend the sample size. When
i add changed more samples, even a few, the ML works. I wonder if i can
preset the initial values for the coefficient but failed. I am writing this
letter to see if any of you have also encounter such problems and whether
stata 8.0 is more powerful in GARCH estimation.

thanks

Lee Chuntao


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