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st: RE: Inequality constraints for ARCH/GARCH model parameters


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Inequality constraints for ARCH/GARCH model parameters
Date   Mon, 26 Jan 2004 10:38:31 -0000

You are correct. Stata only accepts linear
constraints, and inequalities do not qualify. 

Sometimes, in other contexts, you can get what you 
wish by a reparameterisation of the model, for example, by 
using logarithms to ensure that a parameter of interest 
remains positive. I've no idea if that makes sense here. 

Another possibility is that your model is just not suitable
for your data, so that no amount of bending, 
twisting or pushing can improve much on what you get unconstrained. 

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

Said at sh0179@bristol.ac.uk
 
> When estimating ARCH/GARCH models using maximum likelihood methods, 
> STATA performs unconstrained optimisation and therefore the results 
> returned contain negative parameter estimates and are therefore not 
> very useful. How can I impose inequality constraints on the 
> optimisation process such that it performs constrained optimisation, 
> the 'constraint define' command seems to only accept equality 
> constraints, when I try to define inequality ones I get error 
> messages.

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