[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: Measure of fit for ARCH model

From   Maarten buis <>
To   stata list <>
Subject   RE: st: Measure of fit for ARCH model
Date   Tue, 6 May 2008 19:36:41 +0100 (BST)

--- Beat Hintermann wrote:
> Can anyone tell me if Stata has a measure that evaluates goodness of
> fit of an ARCH model?
> I know the BIC and AIC, but they are useful only in relative terms
> when comparing models. Is there anything like a pseudo Rsquared, or
> some other measure that indicates how much of the variation is
> accounted for by the model, and how much is left unexplained?

This may or may not apply:

Hope this helps,

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

Sent from Yahoo! Mail.
A Smarter Email
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index