The RATS Software Forum

Thank you again, Tom. I see... 1. I reduced the individuals in the panel to 16. 2. I applied differences to my endogenous variables. Now, they are stationary. Although I recently read many papers applying panel GARCH, it's my first time dealing with them. I'm sorry, I am not sure what kind of model ...

Thank you Tom, From yesterday, I'm trying the following steps (after scaling, by 100): maximize(start =PGARCHInit(),trace,parmset =meanparms,pmethod =simplex,piters =5,method =bfgs,iters =400) logl gstart gend maximize(trace, parmset =garchparms,method =bhhh,iters =400) logl gstart gend maximize(tra...

Dear Tom, Thank you so much for your help. What a mistake! Of course, gstart should be 3, at least. Thanks for the reflexion about the unbalanced panel I had in mind. You are right. I attach here my dataset (the web did not allow me to upload it in dta format): cpi-u-vol-rats-balanced.xlsx Now, maxi...

Dear all, Although hoping to find a solution to run a panel GARCH for unbalanced datasets, in the meantime, I tried to get the results for a "simple" model on a balanced dataset. I tried with an AR(2) mean equation. See the code here: prova_MODEL_A_balanced.txt Everything works fine until ...

Dear all,

I understand that the model in these posts is for balanced panel datasets.
Is there an alternative for UNBALANCED panels? What would be the instructions for NLSYSTEM and MAXIMIZE for this case?

Any advise is so welcomed. Thank you.