st: PP-GARCH (pooled Panel GARCH)

[Anna Kalbhenn <annaka@ir.gess.ethz.ch>]

Dear all,
I would like to estimate a PP-GARCH model (pooled panel GARCH). Does  
any of you have an idea how this could be done in Stata?
A collogue told me that some people appear to just declare the data  
to be a panel (tsset id) and then use the arch command. But what is  
Stata actually calculating then?

Thanks a lot in advance,
cheers,
Anna




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