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Re: st: Constrained ARCH in STATA


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Constrained ARCH in STATA
Date   Sat, 04 Aug 2007 01:44:13 -0400

MD,
Or if you have trouble obtaining the data that way, try

   Suppose you had a GARCH(2,1) model and you wish to constrain your
ARCH L1=.5*ARCH L2, you could set up the constraint as follows:

use http://www.stata-press.com/data/r10/dow1.dta, clear
tsset date
constraint define 1 (1/2)[ARCH]l1.arch=[ARCH]l2.arch
arch ln_dow, arch(1/2) garch(1) constraint(1)

or if you wanted Arch L.1=2*ARCH L2, you could use the following constraint
constraint define 1 (2)[ARCH]l1.arch=[ARCH]l2.arch
arch ln_dow, arch(1/2) garch(1) constraint(1)



   Regards,
        Bob Yaffee


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
homepage: http://homepages.nyu.edu/~ray1/

----- Original Message -----
From: M D <healthyfruit@hotmail.com>
Date: Friday, August 3, 2007 6:29 pm
Subject: st: Constrained ARCH in STATA
To: statalist@hsphsun2.harvard.edu


> Does anyone know how to do a constrained ARCH in STATA?
> 
> I am trying to estimate arch y, arch(1 2 3 4) ar(1) ma(1 4). However, 
> I want 
> to put a constraint on the conditional variance. In particular, I want 
> to 
> use the declining weights 0.4, 0.3., 0.2 and 0.1, i.e. Ht=alpha0 + 
> alpha1*(0.4(Et-1)^2 + 0.3*(Et-2)^2 + 0.2*(Et-3)^2 + 0.1*(Et-4). It is 
> the 
> constraint used in the Engle regression.  Unfortunately, I can't 
> figure out 
> the code for telling STATA what my constraint is. :(
> 
> What do I do?
> 
> Thank you in advance.
> 
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