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Re: st: Nonlinear ARMAX model
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: Nonlinear ARMAX model
Date
Mon, 08 Mar 2010 16:51:40 -0500
Sebastien,
You can enter autoregressive, moving average and exogenous terms in the
nonlinear threshold (g)arch models. While GARCH models are nonlinear, there are a host
of other nonlinear models as well. I was not sure to which kind you were referring--
regime switching, markov switching, threshold autoregressive, smooth transition autoregressive,
self-exciting smooth transition autoregressive models, continuous time diffusion modes,
and so on. Without more specificity, it was difficult to provide you with a clear answer.
Regards,
Bob
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Sebastian van Baal <[email protected]>
Date: Monday, March 8, 2010 3:58 am
Subject: Re: st: Nonlinear ARMAX model
To: [email protected]
> Dear Robert:
>
> Thank you for your explanations! I was thinking more general and
> perhaps my
> nomenclature was problematic. The econometric software Eviews is able
> to
> estimate "nonlinear models with AR and SAR specifications" (quote from
> the
> feature list). This works since Eviews allows the user to enter the complete
> regression equation (much like Stata's nl-command) including AR-terms.
> So my
> question boils down to this: Is there a command in Stata that allows
> me to
> a) enter the explicit regression equation and b) specify AR-terms? (MA-terms
> would be interesting as well, but I don't need them in this case and Eviews
> can't incorporate them into a nonlinear model either.)
>
> Best regards
> Sebastian
>
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*
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