The -het(varlist)- option for the ARCH command allows you to specify independent variables in the equation for the conditional variance.
Jean Salvati
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Nazaria Solferino
> Sent: Monday, October 25, 2004 7:48 AM
> To: [email protected]
> Subject: st: A Garch model
>
> I'm trying to estimate a Garch model where I need to put as
> regressor in the conditional variance equation a dummy
> variable (assuming value 1 for the year i)multiplied for the
> lagged squared residuals. How may I perform it with Stata?
>
>
>
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