Using the t distribution instead of GED

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Student15
Posts: 19
Joined: Fri Apr 17, 2015 2:23 pm

Using the t distribution instead of GED

Postby Student15 » Fri Apr 17, 2015 2:37 pm

Hi

I am using a positive feedback trading model in Eviews 8. I need to use the t distribution instead of GED. May you please help me with how I can modify the current program that I am using so that it incorporates the t distribution. Thank you. The program is as follows:

sample s0 @first @first+1
sample s1 @first+2 @last
smpl @all

' declare coef vectors to use in ARCH likelihood
coef(4) beta = 0
coef(3) alpha = 0
coef(1) dof = 0
coef(1) mu = 0

' get starting values
equation eq1.arch(1,1,ged,archm=VAR,backcast=1) y c y(-1)
eq1.makegarch garchm
equation eq1.arch(1,1,ged,archm=VAR,backcast=1) y c garchm*y(-1) y(-1)
beta(1) = eq1.c(1)
beta(2) = eq1.c(2)
beta(3) = eq1.c(3)
beta(4) = eq1.c(4)
alpha(1) = eq1.c(5)
alpha(2) = eq1.c(6)
alpha(3) = eq1.c(7)
dof(1) = eq1.c(8)
mu(1) = eq1.@se^2

' set presample values of expressions in logl
series sig2 = mu(1)
series res = resid

' set up GARCH likelihood
logl ll1
ll1.append @logl logl
ll1.append @byeqn
ll1.append res = y - beta(2) - beta(1)*sig2 - beta(3)*sig2*y(-1)- beta(4)*y(-1)
ll1.append sig2 = alpha(1)+ alpha(2)*res(-1)^2 + alpha(3)*sig2(-1)
ll1.append z = res/@sqrt(sig2)
ll1.append logl = log(@dged(z,dof(1))) - log(sig2)/2

' estimate and display results
smpl s1
ll1.ml(showopts, m=1000, c=1e-5)
show ll1.output

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