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Re: st: Model comparison
From
Richard Goldstein <[email protected]>
To
[email protected]
Subject
Re: st: Model comparison
Date
Fri, 07 Feb 2014 08:08:39 -0500
type in -search vuong-
Rich
On 2/7/14, 5:49 AM, David Ashcraft wrote:
> 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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