Sandro,
Try this:
*********Begin Example*********
webuse wpi1
arch D.ln_wpi, arch(1/1) garch(1)
ARCH family regression
Sample: 1960q2 - 1990q4 Number of obs = 123
Distribution: Gaussian Wald chi2(.) = .
Log likelihood = 373.234 Prob > chi2 = .
------------------------------------------------------------------------------
| OPG
D.ln_wpi | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ln_wpi |
_cons | .0061167 .0010616 5.76 0.000 .0040361 .0081974
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .4364123 .2437428 1.79 0.073 -.0413147 .9141394
garch |
L1. | .4544606 .1866605 2.43 0.015 .0886126 .8203085
_cons | .0000269 .0000122 2.20 0.028 2.97e-06 .0000508
------------------------------------------------------------------------------
. di [ARCH]_b[L.]
.43641233
. di [ARCH]_b[L.garch]
.45446058
. di [ARCH]_b[_cons]
.00002688
HTH,
Joao Lima
2008/8/13 Andrade, Sandro <[email protected]>:
> 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/
>
--
-------------------------------
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/
