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: Problems when estimating GARCH(1,1) in STATA
From
[email protected]
To
<[email protected]>
Subject
st: RE: Problems when estimating GARCH(1,1) in STATA
Date
Fri, 2 Aug 2013 13:46:47 -0500
Pawel Smietanka <[email protected]> asked about the differences
observed between the coefficient estimates obtained for the same GARCH model
specification fitted with the default options for Stata and EViews. Those
differences arise because of the treatment for the assumed initial value
associated to the conditional variance. By default the -arch- command
computes the presample (priming) value "as the expected unconditional
variance given the current estimates of the coefficients and any ARMA
parameters". The EViews output shown by Pawel reports that the presample
variance was obtained by using backcasting with the weight parameter equal
to .7. Pawel can obtain the same (or very close) coefficient estimates
produced in Stata by setting the weight parameter (in EViews) equal to 1, so
that the priming value for the computations would also correspond to the
unconditional variance.
I hope that this helps.
--Gustavo
[email protected]
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/