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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 |
Fri, 16 Mar 2012 11:10:55 +0000 |

I can't comment on your -mgarch- use. I don't think anyone can comment easily on comparison with OxMetrics without seeing much more detail. In terms of cycling over panels, this can be simplified, but note that -- naturally -- this is not tested by me because I do not have your data. -forval- is more natural here. use "etf.sticker_quotes_upd_32.dta", clear drop if ret == . sort permno date duplicates drop permno date, force egen id=group(permno) su id, meanonly local max = r(max) save etf.sticker_quotes_upd_32_2 qui forval i = 1/`max' { use "etf.sticker_quotes_upd_32_2.dta", clear keep if id == `i' gen date_n=_n tsset date_n l permno in 1/2 di "{title: results for `i'}" di noisily mgarch dcc (ret vwretd = , noconstant) /// , arch(1) garch(1) technique(bhhh) iterate(4000) predict H* if e(sample), variance generate double corr_ret_vwretd = H_ret_vwretd / ( sqrt(H_ret_ret) *sqrt(H_vwretd_vwretd)) outsheet using DCC_`i'.csv , comma } On similar technique see FAQ . . . . . . . . . . Making foreach go through all values of a variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox 8/05 Is there a way to tell Stata to try all values of a particular variable in a foreach statement without specifying them? http://www.stata.com/support/faqs/data/foreach.html Nick n.j.cox@durham.ac.uk Arsenio Staer Hi Nick and Rafal, Thank you for the answers! I approached this following way ================================= begin example ============================= use "etf.sticker_quotes_upd_32.dta", clear sort permno date duplicates drop permno date, force egen id=group(permno) su id, meanonly scalar max_r = `r(max)' foreach i of num 1/`=max_r' { /* instead of forvalues which has to have a numeric range? */ use "etf.sticker_quotes_upd_32.dta", clear sort permno date qui egen id=group(permno) drop if id != `i' duplicates drop permno date, force drop if ret == . gen date_n=_n tsset date_n l permno in 1/2 if id==`i' noisily mgarch dcc (ret vwretd = , noconstant) /// if id == `i' , arch(1) garch(1) technique(bhhh) iterate(4000) predict H* if e(sample), variance generate double corr_ret_vwretd = H_ret_vwretd / ( sqrt(H_ret_ret) *sqrt(H_vwretd_vwretd)) outsheet using DCC_`i'.csv , comma } ================================== end example ============================== Apologize if the code above looks unformatted. I found out that, the series need to be -tsset- but can't be -xtset- at least in my case, any mgarch command on -xtset- dataset gives that error in the previous message. So i create a new dataset based on the group and -tsset- it in the loop and run the estimation and output the DCC time series which I'm interested in. This is an proof of concept on the return data then i will run it on the other variables. I'm working on the estimation itself, somehow can't achieve convergence. The same model in OxMetrics achieves convergence in seconds with similar log likelihood values. But that's a different matter altogether. * * 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/

**References**:**st: MGARCH DCC in panel settings - error?***From:*Arsenio Staer <arsenio.staer@gmail.com>

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