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Re: st: testing for optimal lag in garch
Testing several models can be done sequentially
with the reduction of the arch(1/3) garch(1/3) maximum lag length. But
there is no step down procedure. Also, with such nonlinear models,
one needs to be careful about overparameterizing
them, lest your model does not converge.
Robert A. Yaffee, Ph.D.
Shirley M. Ehrenkranz
School of Social Work
New York University
2100 Linwood Ave.
Fort Lee, NJ
----- Original Message -----
From: Olga Gorbachev Melloni <email@example.com>
Date: Wednesday, August 30, 2006 2:07 pm
Subject: st: testing for optimal lag in garch
> I was wondering whether there is a test for an optimal structure of
> Garch(p,q) process in stata, and if so, what is it? I need to test
> models and choose the one that fits the data best, i.e. Arch(1) vs.
> Garch(1,1) vs. Arch (1/2)...
> thank you
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
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