Dear all
How do I access, say, the GARCH coefficient in a simple GARCH(1,1) estimation?
For example, using a time series of returns do:
arch returns, arch(1) garch(1)
If I use
[ARCH]_b[L1.]
I access the ARCH(1) coefficient on the variance equation (i.e., the ARCH equation). I don't know how to get the garch coefficients in the variance equation.
Thank you!
Sandro.
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Nuno
Sent: Wednesday, August 13, 2008 2:28 PM
To: [email protected]
Subject: RE: st: Testing for serial correlation in residuals under panel data
Thank you Jo�o!
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Joao Ricardo F.
Lima
Sent: 13 August 2008 17:46
To: [email protected]
Subject: Re: st: Testing for serial correlation in residuals under panel
data
Nuno,
try
help xtserial.
HTH,
Joao Lima
2008/8/12 Nuno <[email protected]>:
> Hi everyone,
>
> I have a panel data of about 20000 observations (firms and years) and
> I've estimated a panel data model using xtreg:
>
> xtreg y x1 x2 x3 x4, fe vce(robust)
>
> What I would like to do now is to test for serial correlation in the
> residuals of the previous model. Is there a way of doing this under
> Stata using panel data?
>
> All the best,
>
> Nuno
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
