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From | "Christopher A. Hartwell" <chartwel16@gmail.com> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: Panel data ARCH/GARCH post-estimation? |
Date | Thu, 21 Nov 2013 08:19:15 +0200 |
Hi all, I am just exploring the functionalities of Stata 13 in regards to GARCH estimation, and have been looking intensely for a better set of postestimation commands. I have used G@RCH (OxMetrics) before and am impressed by their post-estimation commands, but as I am more familiar with Stata and working in the Stata environment, I would love to be able to replicate some of that functionality from G@RCH in Stata. To whit, are there any do/ado files or commands that exist that allow for panel data ARCH/GARCH postestimation that performs the ARCH-LM test or the Ljung-Box tests at various lags? The AIC/BIC are easy enough to obtain, but beyond that I'm finding it difficult to find any commands or tests that work with panel data (too many of the existing commands I find are time series only, while some of the "panelauto" package commands give me results only for a time series in one panel). Does anyone have any idea if these commands are out there, either built-in or through a user-written program? Much thanks in advance, Christopher Hartwell Christopher A. Hartwell, PhD Head of Economic Research Institute for Emerging Market Studies (IEMS) http://iems.skolkovo.ru/ http://skolkovo.academia.edu/ChristopherHartwell http://institutionaleconomist.weebly.com/ In Moscow: +7 916 777 1260 (m) In the US: +1 202-415-6030 (m) +1 773-724-2310 (t/f) Skype: chartwel Christopher A. Hartwell Economic Growth and Business Environment Consultant In Moscow: +7 916 777 1260 In the US: +1 202-415-6030 (m) +1 773-724-2310 (t/f) http://skolkovo.academia.edu/ChristopherHartwell e-mail: chartwel16@gmail.com alternate emails: chartwel@post.harvard.edu, christopher.hartwell@msn.com * * 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/