The RATS Software Forum

Dear tom,
thanks for your prompt answer,
what about heteroskedasticity? how i can solve this problem and get homoskedastic result?can adding lags solve heteroskedasticity or there isn"t relation between them?

Hi TOM, I am working in fixed effects panel data but this is a heteroskedastic panel with serial correlation.and i must estimate a homoskedastic without any correlation and i don't know exactly what should i do. in stata there is a code named xtgls that can solve this two problems jointly, is there ...

test(title="Wald Test for vbs and vas") # 2 3 # vbs(1,1)=vbs(2,2)=vbs(3,3)=vbs(4,4) vbs(2,1)=vbs(3,1)=vbs(3,2)=vbs(4,1)=vbs(4,2)=vbs(4,3) vas(1,1)=vas(2,2)=vas(3,3)=vas(4,4) vas(2,1)=vas(3,1)=vas(3,2)=vas(4,1)=vas(4,2)=vas(4,3) compute funcunr=%funcval nonlin(parmset=garchparms) vbs(1,1)=v...

Hi tom, Thanks alot for your help. so you mean that just bangladesh will be fit by garch process during that period, am i right sir? there isn't anyway for using garch model especially for iran like changing time period(don't worry about garch form)? what about using this constraint : vcs.ge.0 and l...

Hi, i am using panel garch - DVECH similar to Cermeno and Grier,2006 but i don't know why it isn't correct . because garch coefficients sums are more than one(i.e delta+ gamma>1, and vcs(3,2) is negative).i read all the posts in this subject but still can't understand why it should be like this sinc...