*
* Example 4.1 from page 155
*
open data ch04_ew_m(26-97).dat
calendar(m) 1926:1
data(format=free,org=columns) 1926:1 1997:12 rt
*
nonlin(parmset=meanparms) mu phi1 phi3
nonlin(parmset=varparms) b0 b1 b2 b3
set a = 0.0
*
linreg rt
# constant rt{1} rt{3}
compute mu=%beta(1),phi1=%beta(2),phi3=%beta(3)
*
frml meanf = mu+phi1*rt{1}+phi3*rt{3}
*
compute b0=%seesq,b1=b2=b3=0.0
*
frml varf  = b0*(1+b1*a{1}+b2*a{2}+b3*a{3})**2
frml logl  = (a=rt-meanf),(v=varf),%logdensity(v,a)
maximize(parmset=meanparms+varparms) logl 4 *
*
garch(regressors,p=0,q=3) / rt
# constant rt{1 3}