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Re: st: testing for optimal lag in garch


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing for optimal lag in garch
Date   Wed, 30 Aug 2006 15:21:53 -0400

Olga,
  When you have too many parameters so that you have a flat or non-concave
likelihood surface, you have parameterized.  In this case, some of the
parameters may be redundant and/or others may be non-significant when
that happens.
  - You're welcome,
  


Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Olga Gorbachev Melloni <olga_gorbachev@hotmail.com>
Date: Wednesday, August 30, 2006 2:34 pm
Subject: Re: st: testing for optimal lag in garch

> What do you mean by "with the reduction of the arch (1/3) 
> garch(1/3) maximum 
> length"? Do you mean I should be looking at the loglikelyhood at 
> the 
> convergence? I know that t-stats are significant at arch(1/5), but 
> how can I 
> be sure I am not overparametrizing?
> 
> thank you,
> 
> 
> 
> >From: Robert A Yaffee <bob.yaffee@nyu.edu>
> >Reply-To: statalist@hsphsun2.harvard.edu
> >To: statalist@hsphsun2.harvard.edu
> >Subject: Re: st: testing for optimal lag in garch
> >Date: Wed, 30 Aug 2006 14:28:56 -0400
> >
> >Olga,
> >   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.
> >  - Bob
> >
> >
> >Robert A. Yaffee, Ph.D.
> >Research Professor
> >Shirley M. Ehrenkranz
> >School of Social Work
> >New York University
> >
> >home address:
> >Apt 19-W
> >2100 Linwood Ave.
> >Fort Lee, NJ
> >07024-3171
> >Phone: 201-242-3824
> >Fax: 201-242-3825
> >yaffee@nyu.edu
> >
> >----- Original Message -----
> >From: Olga Gorbachev Melloni <olga_gorbachev@hotmail.com>
> >Date: Wednesday, August 30, 2006 2:07 pm
> >Subject: st: testing for optimal lag in garch
> >
> > > hi,
> > >
> > > 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
> > > several
> > > models and choose the one that fits the data best, i.e. Arch(1) 
> vs.> > Garch(1,1) vs. Arch (1/2)...
> > >
> > >
> > > thank you
> > >
> > >
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