Does anyone know how to do a constrained ARCH in STATA?
I am trying to estimate arch y, arch(1 2 3 4) ar(1) ma(1 4). However, I want
to put a constraint on the conditional variance. In particular, I want to
use the declining weights 0.4, 0.3., 0.2 and 0.1, i.e. Ht=alpha0 +
alpha1*(0.4(Et-1)^2 + 0.3*(Et-2)^2 + 0.2*(Et-3)^2 + 0.1*(Et-4). It is the
constraint used in the Engle regression. Unfortunately, I can't figure out
the code for telling STATA what my constraint is. :(
What do I do?
Thank you in advance.
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