Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: estimating residuals with an A-GARCH model
From
Tirthankar Chakravarty <[email protected]>
To
[email protected]
Subject
Re: st: estimating residuals with an A-GARCH model
Date
Sat, 10 Dec 2011 04:29:50 -0800
You need to take into account the regressors in your mean equation of
the augmented GARCH model in computing the residuals by hand:
**********************************************
webuse dow1, clear
g returns = ln_dow - L.ln_dow
arch returns L.returns, arch(1) garch(1)
// automatic
predict stata_resid, residuals
// manual
g man_pred = _b[L1.returns]*L.returns + _b[_cons]
g man_resid = returns - man_pred
list *_resid in 1/10
**********************************************
T
On Sat, Dec 10, 2011 at 4:09 AM, Kuncho Tsilkov <[email protected]> wrote:
> Hi all,
>
> I have the following model that I estimate using an A-GARCH model:
>
> Ret(US,t) = a(0) + a (1) R(US,t-1) + e(US,t)
>
> After I have run the model I would like to estmate the residual for the US.
> The first way I did it is using the following Stata code:
>
> gen residual_us = (return_us - _b[_cons])
>
> The second way is to use:
>
> predict residual_us, residual
>
> So my question is what is the difference between the two as they give different values?
>
> *
> * 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/
--
Tirthankar Chakravarty
[email protected]
[email protected]
*
* 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/