VAR-GARCH-M

[economics2012]

I think I had an error in the previous code I sent.

Code: Select all

compute %%garchh=%zeros(%nvar,%nvar)
do i=1,%nvar
   compute %%garchh(i,i)=(garchp(i)(1)+garchp(i)(2)*M(time)+garchp(i)(3)*Tu(time)+garchp(i)(4)*W(time)+garchp(i)(5)*TH(time))+$
garchp(i)(6)*uu(time-1)(i,i)+garchp(i)(7)*hh(time-1)(i,i)
end do i
end

In the previous one I didn't multiply by (1-garchp(i)(6)-garchp(i)(7)). So, the below one is the correct one. Am I right?

Code: Select all

compute %%garchh=%zeros(%nvar,%nvar)
do i=1,%nvar
   compute %%garchh(i,i)=(1-garchp(i)(6)-garchp(i)(7))*(garchp(i)(1)+garchp(i)(2)*M(time)+garchp(i)(3)*Tu(time)+garchp(i)(4)*W(time)+garchp(i)(5)*TH(time))+$
garchp(i)(6)*uu(time-1)(i,i)+garchp(i)(7)*hh(time-1)(i,i)
end do i
end

Many thanks

[economics2012]

I mean that I need to multiply by (1-garchp(i)(6)-garchp(i)(7)) for the day-of-the-week effect to be parameterized in terms of unconditional variances rather than variance intercepts as discussed in the Baillie-Bollerslev article.

Correct?

[TomDoan]

I mean that I need to multiply by (1-garchp(i)(6)-garchp(i)(7)) for the day-of-the-week effect to be parameterized in terms of unconditional variances rather than variance intercepts as discussed in the Baillie-Bollerslev article.

Correct?

That's correct.

[economics2012]

Thanks a lot for all the help.

[economics2012]

Hi Tom,

I need to test using any information criteria for the number of lags of sqrthoil I need to add to the model. I added five lags but I need to test it.

Can you please help me doing it using RATS?

I can't thank you enough for all your help.

[TomDoan]

Hi Tom,

I need to test using any information criteria for the number of lags of sqrthoil I need to add to the model. I added five lags but I need to test it.

Can you please help me doing it using RATS?

I can't thank you enough for all your help.

I wouldn't really recommend using an IC to choose that. Just run the 5 lag and do sequential exclusion tests on the longer lags (with TEST).