Dear Stata Users,
I expect to write various Multivariate GARCH estimators on Stata, but at the
moment I am even stuck at writing my own estimator for simple GARCH(1,1)
model using -ml-. I am a newbie to Stata, so I apologize if my questions are
na�ve.
1. The info about -ml- which I found in "[R] ml" was not enough for me,
because no examples were given how to specify time series estimators.
In particular:
2. Which -ml- method {lf,d0,d1,..} is appropriate for ts likelihood like in
garch. In this case it is a conditional likelihood, and that is a problem: I
don't find the way to fit in the framework of -ml-, i.e. how to specify the
`theta' when it depends on its own lags.
I do it straightforward:
........
program myarch_dr
version 8
args lnf sigma2
qui replace `lnf' = -0.5 * (ln(2*_pi) + ln(`sigma2') + $ML_y1
/`sigma2')
end
cmd: ml model lf myarch_dr ( e2_t = L.e2_t L.sigma2) in 2/l, collinear
........
If all `sigma2' values are initialized then the model is estimated, but with
these static values. And if I supply only the initial value for `sigma2',
with rest missing, the output is "insufficient observation".
3. I did examine the own Stata's arch.ado file. And there is a different
approach and commands, for which I didn't find help. In particular:
The call for -ml- method is "rdu0". What is that?
.........
capture noi ml model rdu0 `ml_prog' `xbeqn' .... etc..
.........
And the log-likelihood is calculated in observation loop for which I also
didn't find the help:
........
/* Observartion loop */
_byobs {
......
/* ARCH components */
$Tdoarch score $Tsigma2 = `b', eq("ARCH") missval(`sig2_0')
`dohet' update $Tsigma2 = $Tsigma2 `hetterm'
......
/* Likelihood */
update `llvar' = -0.5 * (ln(2*_pi) + /*
*/ ln($Tsigma2) + $Te2 / $Tsigma2)
}
........
How does this loop work? I didn't find info about the "update" and "_byobs"
commands?
4. Does somebody know if the book
Maximum Likelihood Estimation with Stata (Gould and Sribney 1999)
Is describing these features about -ml- programming, does it have examples
with time series.
Thank you in advance for comments and help.
Best regards,
Mindaugas
---
Mindaugas Baltutis
Department of Finance
University of Vienna
Bruenner Strasse 72
A-1210 Vienna
Austria
Tel: +43 (0)1 4277-38076
Fax: +43 (0)1 4277-38054
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