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| From | David Ashcraft <ashcraftd@rocketmail.com> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: Model comparison |
| Date | Fri, 7 Feb 2014 02:49:06 -0800 (PST) |
Hi Statalist, I want to compare which model has better estimation: GARCH-DCC or OLS. Litrature suggests Vuong(1989) test. I tried to look for this test but could not find it on Stata. Is there anyone who has implemented or have a code for this to share? I will really appreciate the help, Best, David -- David Ashcraft PhD Candidate Bangor University North Wales, UK * * 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/