Search found 7 matches

by Economist
Tue Aug 15, 2017 11:58 am
Forum: Estimation
Topic: GARCH with variables
Replies: 29
Views: 36089

Re: GARCH with variables

GARCH has two parts that you should estimate simultaneously. First part is called "the mean equation", which you can define your stationary time series as univariate and/or as a function of other independent variables. In this part, however, it is assumed that the squared disturbance/erro...
by Economist
Sun Jan 01, 2017 5:47 pm
Forum: Estimation
Topic: Breakpoint Unit Root Test
Replies: 10
Views: 3749

Re: Breakpoint Unit Root Test

Hi, I know that in his original paper Perron(1989) used this test with a known and single breakpoint. Nevertheless, can we also use this test with multiple breakpoints by selecting Dickey-Fuller min-t, intercept break min-t, etc. when we select breakpoint selection method? If not, how can we conduct...
by Economist
Thu Dec 10, 2009 7:48 pm
Forum: Estimation
Topic: Marginal Effects
Replies: 14
Views: 18744

Re: Marginal Effects

Hi, I am also working on a probit model, and I would like to see the marginal effect of a categorical variable on the dependent variable, in particular, the marginal effect of higher education on the probability of being poor. I checked the "Procedures for Binary Equations" which QMS Garet...
by Economist
Wed Nov 18, 2009 4:34 pm
Forum: Estimation
Topic: Categorical Dummy Variable Help
Replies: 6
Views: 4879

Re: Categorical Dummy Variable Help

QMS Glenn,

Thank you very much for your suggestion. It helped me save a lot of time.
by Economist
Tue Nov 10, 2009 8:12 am
Forum: Estimation
Topic: Categorical Dummy Variable Help
Replies: 6
Views: 4879

Re: Categorical Dummy Variable Help

thank you startz for the suggestion. it worked out! All right, so do you or does anyone have a suggestion about how to create a dummy variable which would combine two characteristics in itself? To detail, I used genr edu1=@recode(edlevel=1,1,0) genr edu2=@recode(edlevel=2,1,0) genr edu3=@recode(edle...
by Economist
Wed Nov 04, 2009 7:32 pm
Forum: Estimation
Topic: Categorical Dummy Variable Help
Replies: 6
Views: 4879

Re: Categorical Dummy Variable Help

When I run the program, it gives the error message

IF is not defined in "GENR DUM1=1 IF REGION=1 ELSE DUM1=0"

How can I fix this error?
by Economist
Wed Nov 04, 2009 7:05 pm
Forum: Estimation
Topic: Categorical Dummy Variable Help
Replies: 6
Views: 4879

Categorical Dummy Variable Help

Hi, I am trying to create categorical dummy variables for a variable called "region" in order to see the probability of being poor in these specific regions(such as dum1, dum2, dum3...etc) by using the probit model. Nevertheless, although I tried several different ways, I couldn't find out...

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