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st: MGARCH DCC in panel settings - error?


From   Arsenio Staer <arsenio.staer@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: MGARCH DCC in panel settings - error?
Date   Mon, 12 Mar 2012 18:39:37 -0700

Dear all,

A very simple question. I'm running Stata 12 SE and tryinq out MGARCH DCC ( before I had to use R or OxMetrics). 

However in my panel data setting (xtset'ted), this command run in foreach loops:
> noisily  mgarch dcc (RET VWRETD = L.RET l.VWRETD noconstant)
gives an error 

sample may not include multiple panels
r(459);

A simulated sample of the data below:
+---------+-----------+-------------+--------------+
| sTicker |   DATE    |     RET     |    VWRETD    |
+---------+-----------+-------------+--------------+
| A       | 6/20/2003 | 0.087600002 | -0.129919998 |
| A       | 6/23/2003 | 0.08585     | 0.16868      |
| A       | 6/24/2003 | 0.085500002 | 0.555617666  |
| AAPL    | 6/20/2003 | 0.070080002 | 0.780197509  |
| AAPL    | 6/23/2003 | 0.06868     | 0.000957464  |
| AAPL    | 6/24/2003 | 0.068400002 | 0.855675696  |
| AA      | 6/20/2003 | -0.2        | 0.111115933  |
| AA      | 6/23/2003 | 0.1         | 0.783158368  |
| AA      | 6/24/2003 | 0.1         | 0.90800864   |
+---------+-----------+-------------+--------------+

The original data is far larger. Can MGARCH be used at all in panel data in Stata? Any workaround? Would greatly appreciate any help or info.

Thank you,

Arsenio

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