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st: RE: Multivariate GARCH-Mean Models in STATA


From   "George Krause" <Krauseg@gwm.sc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Multivariate GARCH-Mean Models in STATA
Date   Tue, 09 Mar 2004 10:31:52 -0500

Dear Stata List Group:

   I am wondering if anyone out there has an ado file for estimating
multivariate GARCH-Mean models containing  n equations using the
conditional variances of the residual term  (h_t = sigma_t^2) and/or
conditional standard deviations (h_t^1/2 = sigma_2)?  Please feel free
to contact me directly via e-mail at  George.Krause@sc.edu 

Best Regards,

George Krause   

George A. Krause
Associate Professor 
Department of Political Science
337 Gambrell Hall
University of South Carolina
Columbia, South Carolina 29208
(803) 777-4545/3109 (office/department phone)
(803) 777-8255 (fax)
George.Krause@sc.edu (e-mail)
http://www.cla.sc.edu/POLI/facbio/krause.html (web bio)
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