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Re: st: acessing coefficients in GARCH estimation


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: acessing coefficients in GARCH estimation
Date   Wed, 13 Aug 2008 21:08:02 -0300

Sandro,

Try this:

*********Begin Example*********
webuse wpi1
arch D.ln_wpi, arch(1/1) garch(1)

ARCH family regression

Sample: 1960q2 - 1990q4                            Number of obs   =       123
Distribution: Gaussian                             Wald chi2(.)    =         .
Log likelihood =   373.234                         Prob > chi2     =         .

------------------------------------------------------------------------------
             |                 OPG
    D.ln_wpi |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ln_wpi       |
       _cons |   .0061167   .0010616     5.76   0.000     .0040361    .0081974
-------------+----------------------------------------------------------------
ARCH         |
        arch |
         L1. |   .4364123   .2437428     1.79   0.073    -.0413147    .9141394
       garch |
         L1. |   .4544606   .1866605     2.43   0.015     .0886126    .8203085
       _cons |   .0000269   .0000122     2.20   0.028     2.97e-06    .0000508
------------------------------------------------------------------------------

. di [ARCH]_b[L.]
.43641233

. di [ARCH]_b[L.garch]
.45446058

. di [ARCH]_b[_cons]
.00002688


HTH,

Joao Lima


2008/8/13 Andrade, Sandro <sandrade@exchange.sba.miami.edu>:
> Dear all
>
> How do I access, say, the GARCH coefficient in a simple GARCH(1,1) estimation?
>
> For example, using a time series of returns do:
>
> arch returns, arch(1) garch(1)
>
> If I use
> [ARCH]_b[L1.]
> I access the ARCH(1) coefficient on the variance equation (i.e., the ARCH equation). I don't know how to get the garch coefficients in the variance equation.
>
> Thank you!
> Sandro.
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nuno
> Sent: Wednesday, August 13, 2008 2:28 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: Testing for serial correlation in residuals under panel data
>
> Thank you Joćo!
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Joao Ricardo F.
> Lima
> Sent: 13 August 2008 17:46
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Testing for serial correlation in residuals under panel
> data
>
> Nuno,
>
> try
>
> help xtserial.
>
> HTH,
>
> Joao Lima
>
> 2008/8/12 Nuno <liststata@gmail.com>:
>> Hi everyone,
>>
>> I have a panel data of about 20000 observations (firms and years) and
>> I've estimated a panel data model using xtreg:
>>
>> xtreg y x1 x2 x3 x4, fe vce(robust)
>>
>> What I would like to do now is to test for serial correlation in the
>> residuals of the previous model. Is there a way of doing this under
>> Stata using panel data?
>>
>> All the best,
>>
>> Nuno
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
>
>
> --
> -------------------------------
> Joao Ricardo Lima
> Professor
> UFPB-CCA-DCFS
> +553138923914
> -------------------------------
> *
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>
>
> *
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>
> *
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>



-- 
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
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*   http://www.ats.ucla.edu/stat/stata/



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