Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: Not the same results with GARCH


From   Valerie Orozco <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: Not the same results with GARCH
Date   Wed, 26 Oct 2011 06:38:38 +0000

I just noticed that the optimization technique used in my "Free" model (without any technique specified) is : 
e(technique) : "bhhh bfgs"
That is a combination of 2 techniques. I don't understand why the results are so different from the others estimations but it explains why the results are not the same than the "nr" ones.

valérie

-------------------------------
Valérie OROZCO
Toulouse School of Economics (INRA-GREMAQ)
21, allée de Brienne
F-31000 Toulouse, France

MF 219
+33 5 61 12 85 91
-------------------------------

-----Message d'origine-----
De : Valerie Orozco 
Envoyé : mardi 25 octobre 2011 15:38
À : [email protected]
Objet : Not the same results with GARCH

Hi,

I have some trouble with the "arch" command.
I want to model a MA(1) process and a GARCH on its residuals. When I specify the technique of optimization, I find quite the same results whatever the method (nr bhhh dfp bfgs). But when I don't write the "technique" option, I have very strange results (see below).
I thought that no specifying the technique means that the technique would have been the default one (nr) but it seems not...
Do you have an idea? What I am doing wrong???

Thank you.
Valérie

Here you have my program: 
/****************************************************/
eststo clear
eststo Free : arch  valeur, ma(1) garch(1) arch(1)

local tech "nr bhhh dfp bfgs"
foreach t of local tech {
    qui eststo `t' : arch  valeur, ma(1) garch(1) arch(1)  technique(`t') }

estout
/****************************************************/

And here, you have the results : 
-----------------------------------------------------------------------------
                     Free           nr         bhhh          dfp         bfgs
                        b            b            b            b            b
-----------------------------------------------------------------------------
valeur                                                                       
_cons            110.1188     102.2961     102.2969     102.2965     102.2959
-----------------------------------------------------------------------------
ARMA                                                                         
L.ma             .7813551     .6950596     .6950131     .6950479     .6950538
-----------------------------------------------------------------------------
ARCH                                                                         
L.arch          -.0278845     .2406442     .2407423     .2405665     .2407807
L.garch         -.9560793      .741724     .7416003     .7417785     .7415708
_cons            254.3421     5.670839     5.675977     5.672461      5.67767
-----------------------------------------------------------------------------
-------------------------------
Valérie OROZCO
Toulouse School of Economics (INRA-GREMAQ) 21, allée de Brienne
F-31000 Toulouse, France

MF 219
+33 5 61 12 85 91
-------------------------------



*
*   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index