Parameter Order

[Anja]

Hi everyone,
I'm fitting a bivariate garch-m model and found that when I change the order of the parameters in the model my results change!
So for example :
equation Aeq A
# constant A{1} hhs(1,1){1} hhs(2,2){1}
equation Beq B
# constant B{1} hhs(1,1){1} hhs(2,2){1}

gives a different results than:
equation Beq B
# constant B{1} hhs(2,2){1} hhs(1,2){1}

What would be the cause of this and what should I do to overcome this problem?

Thanks!

[TomDoan]

Hi everyone,
I'm fitting a bivariate garch-m model and found that when I change the order of the parameters in the model my results change!
So for example :

Code: Select all

equation Aeq A
# constant A{1} hhs(1,1){1} hhs(2,2){1}
equation Beq B
# constant B{1} hhs(1,1){1} hhs(2,2){1}

gives a different results than:

Code: Select all

equation Beq B
# constant B{1} hhs(2,2){1} hhs(1,2){1}

What would be the cause of this and what should I do to overcome this problem?

Thanks!

You have a (1,2) in the second, and a (1,1) in the first.