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st: RE: MGARCH DCC in panel settings - error?


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: MGARCH DCC in panel settings - error?
Date   Tue, 13 Mar 2012 10:43:04 +0000

In this and other contexts StataCorp -- and to the best of my knowledge all user-programmers in this territory too -- have very clear conventions. 

1. If a program supports panel estimation, its name begins with -xt- and it is documented (if an official command) in [XT].  

2. If a program sends an error message that says multiple panels are not supported, it means what it says. Naturally, one possibility is to cycle over panels fitting each panel separately. Whether that is any help for your dataset and your problem will depend on your dataset and your problem. 

Nick 
n.j.cox@durham.ac.uk 

Arsenio Staer

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.


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