st: Panel data ARCH/GARCH post-estimation?

["Christopher A. Hartwell" <chartwel16@gmail.com>]

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 


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