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st: Conditional variance regressors

From   Nazaria Solferino <>
Subject   st: Conditional variance regressors
Date   Fri, 29 Oct 2004 14:35:19 +0200 (CEST)

I'm trying to perform a particular garch model where I
need to put between conditional variance regressors
also a dummy multiplied for the lagged squared
residuals. I know that Stata permits to put regressors
in the conditional variance affords through the option
het in the Stata command for Garch models. But my
problem is what value I must use to inizialize
residuals. Is it enough using residuals calculated by
the nean equation only, or Stata implements a
particualr program, so that inizialized residuals
could be different from that I calculate with a simple
OLS?(As for example happens with the Eviews program).

Many thanks to everyone for your attention


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