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st: Model comparison
From
David Ashcraft <[email protected]>
To
"[email protected]" <[email protected]>
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
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