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st: MGARCH DCC in panel settings - error?
From
Arsenio Staer <[email protected]>
To
[email protected]
Subject
st: MGARCH DCC in panel settings - error?
Date
Mon, 12 Mar 2012 18:39:37 -0700
Dear all,
A very simple question. I'm running Stata 12 SE and tryinq out MGARCH DCC ( before I had to use R or OxMetrics).
However in my panel data setting (xtset'ted), this command run in foreach loops:
> noisily mgarch dcc (RET VWRETD = L.RET l.VWRETD noconstant)
gives an error
sample may not include multiple panels
r(459);
A simulated sample of the data below:
+---------+-----------+-------------+--------------+
| sTicker | DATE | RET | VWRETD |
+---------+-----------+-------------+--------------+
| A | 6/20/2003 | 0.087600002 | -0.129919998 |
| A | 6/23/2003 | 0.08585 | 0.16868 |
| A | 6/24/2003 | 0.085500002 | 0.555617666 |
| AAPL | 6/20/2003 | 0.070080002 | 0.780197509 |
| AAPL | 6/23/2003 | 0.06868 | 0.000957464 |
| AAPL | 6/24/2003 | 0.068400002 | 0.855675696 |
| AA | 6/20/2003 | -0.2 | 0.111115933 |
| AA | 6/23/2003 | 0.1 | 0.783158368 |
| AA | 6/24/2003 | 0.1 | 0.90800864 |
+---------+-----------+-------------+--------------+
The original data is far larger. Can MGARCH be used at all in panel data in Stata? Any workaround? Would greatly appreciate any help or info.
Thank you,
Arsenio
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