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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
-------------------------------
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