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From | Xinjia Liu <lxjliu@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Fwd: different mgarch vcc predicted variance results on different pc's |
Date | Wed, 23 Oct 2013 17:21:53 -0400 |
Hi, I ran the same mgarch vcc command on 2 separate PC's, and got the same identical log as follows... . mgarch vcc (ret x_r =), arch(1) garch(1) nolog iter(100) constraint(1/7) Varying conditional correlation MGARCH model Sample: 9316 - 9568 Number of obs = 253 Distribution: Gaussian Wald chi2(.) = . Log likelihood = 1567.101 Prob > chi2 = . ( 1) [ARCH_ret]L.arch = -.0454344 ( 2) [ARCH_ret]L.garch = 0 ( 3) [ARCH_ret]_cons = .0001649 ( 4) [ARCH_x_r]L.arch = .1162334 ( 5) [ARCH_x_r]L.garch = .5921709 ( 6) [ARCH_x_r]_cons = .0000371 ( 7) [corr(ret,x_r)]_cons = .4823299 ------------------------------------------------------------------------------- | Coef. Std. Err. z P>|z| [95% Conf. Interval] --------------+---------------------------------------------------------------- ret | _cons | .001041 .0008262 1.26 0.208 -.0005783 .0026604 --------------+---------------------------------------------------------------- ARCH_ret | arch | L1. | -.0454344 (constrained) | garch | L1. | 0 (omitted) | _cons | .0001649 (constrained) --------------+---------------------------------------------------------------- x_r | _cons | .0015137 .0006759 2.24 0.025 .000189 .0028385 --------------+---------------------------------------------------------------- ARCH_x_r | arch | L1. | .1162334 (constrained) | garch | L1. | .5921709 (constrained) | _cons | .0000371 (constrained) --------------+---------------------------------------------------------------- corr(ret,x_r)| .4823299 (constrained) --------------+---------------------------------------------------------------- Adjustment | lambda1 | .0151112 .0158745 0.95 0.341 -.0160024 .0462247 lambda2 | .9475648 .0370787 25.56 0.000 .8748919 1.020238 ------------------------------------------------------------------------------- When I run the predict variance command... . predict temp*, variance On one PC, I got time varying variance and covariance predictions as expected... . sum temp* Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- temp_ret_ret | 253 .0001578 .0000147 8.88e-06 .0001649 temp_x_r_ret | 253 .0000629 .0000131 .000033 .0001827 temp_x_r_x_r | 253 .000128 .0000637 .0000953 .0007348 On the other PC, the predicted variances and covariance are wrong: - the variances are equal to 1 - the covariance is time varying but not consistent with the estimation result above . sum temp* Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- temp_ret_ret | 253 1 0 1 1 temp_x_r_ret | 253 .4514813 .0403912 .3386043 .5350307 temp_x_r_x_r | 253 1 0 1 1 The two computers are identical Dell Optiplex 9010, Windows7 64bit, with the same version of Stata (MP 13.0). I was able to replicate the results multiple times. Does anyone have an idea of what might have caused this? Thanks, Xinjia * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/