st: re: inequality constraints for ARCH/GARCH parameters

[Kit Baum <baum@bc.edu>]

Nick said

> You are correct. Stata only accepts linear
> constraints, and inequalities do not qualify.
>
> Sometimes, in other contexts, you can get what you
> wish by a reparameterisation of the model, for example, by
> using logarithms to ensure that a parameter of interest
> remains positive. I've no idea if that makes sense here.
>
> Another possibility is that your model is just not suitable
> for your data, so that no amount of bending,
> twisting or pushing can improve much on what you get unconstrained.

Quite so. That said, Nelson's EGARCH model (implemented in -arch-) will 
avoid the problem of negative conditional variance estimates.

Kit

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