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Re: st: Nonlinear ARMAX model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Nonlinear ARMAX model
Date   Mon, 08 Mar 2010 16:51:40 -0500

Sebastien,
    You can enter autoregressive, moving average and exogenous terms in the
nonlinear threshold (g)arch models.  While GARCH models are nonlinear, there are a host
of other nonlinear models as well.  I was not sure to which kind you were referring--
regime switching, markov switching, threshold autoregressive, smooth transition autoregressive,
self-exciting smooth transition autoregressive models, continuous time diffusion modes,
and so on.  Without more specificity, it was difficult to provide you with a clear answer.
     Regards,
      Bob

 
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Sebastian van Baal <s.vanbaal@arcor.de>
Date: Monday, March 8, 2010 3:58 am
Subject: Re: st: Nonlinear ARMAX model
To: statalist@hsphsun2.harvard.edu


> Dear Robert: 
>  
> Thank you for your explanations! I was thinking more general and 
> perhaps my
> nomenclature was problematic. The econometric software Eviews is able 
> to
> estimate "nonlinear models with AR and SAR specifications" (quote from 
> the
> feature list). This works since Eviews allows the user to enter the complete
> regression equation (much like Stata's nl-command) including AR-terms. 
> So my
> question boils down to this: Is there a command in Stata that allows 
> me to
> a) enter the explicit regression equation and b) specify AR-terms? (MA-terms
> would be interesting as well, but I don't need them in this case and Eviews
> can't incorporate them into a nonlinear model either.) 
> 
> Best regards 
> Sebastian
> 
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