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st: Question on Prediction after ARCH estimation -setting some X variables to zero


From   "Antony Chapoto" <chapotoa@msu.edu>
To   <statalist@hsphsun2.harvard.edu>, <statalist-digest@hsphsun2.harvard.edu>
Subject   st: Question on Prediction after ARCH estimation -setting some X variables to zero
Date   Tue, 19 Aug 2008 15:26:09 +0200

Does anyone know of a procedure to predict the Y after ARCH estimation
imposing restrictions on some of the explanatory variables.  Basically, I
would want to adjust the predicted values with some explanatory variables
set to zero.   For linear models, I could use  'adjust'.

I am estimating the following model:

arch Price l.Price time l.rainfall l.substitute_price l.input_price
l.exrate l.gvtpolicy1  l.gvtpolicy2  sd2 sd3 sd4, het(l.Price time
l.rainfall l.substitute_price l.input_price  l.exrate l.gvtpolicy1
l.gvtpolicy2  sd2 sd3 sd4) arch(1);

Where time is  the trend variable, gvtpolicy1, gvtpolicy2, sd2-sd4 are dummy
variables and the rest of the variables are in logs.

After estimating the model, I would like to predict the Price setting
gvtpolicy1 and gvtpolicy2 to zero.   

I hope someone would be able to assist me. Thank you for all your help.


Antony

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