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st: PP-GARCH (pooled Panel GARCH)
I would like to estimate a PP-GARCH model (pooled panel GARCH). Does
any of you have an idea how this could be done in Stata?
A collogue told me that some people appear to just declare the data
to be a panel (tsset id) and then use the arch command. But what is
Stata actually calculating then?
Thanks a lot in advance,
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