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st: PP-GARCH (pooled Panel GARCH)

From   Anna Kalbhenn <[email protected]>
To   [email protected]
Subject   st: PP-GARCH (pooled Panel GARCH)
Date   Fri, 24 Nov 2006 12:37:09 +0100

Dear all,
I would like to estimate a PP-GARCH model (pooled panel GARCH). Does any of you have an idea how this could be done in Stata?
A collogue told me that some people appear to just declare the data to be a panel (tsset id) and then use the arch command. But what is Stata actually calculating then?

Thanks a lot in advance,

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