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hello trubador, thanks for sharing the code for Stochastic volatility using state space. i got few questions, 1) can you recommend the best way to experiment to find feasible starting parameter values for stochastic volatility. 2) (showopts,m=500,c=1e-06) why is that c = 1e-06? thank you very much a...

Thanks

Hi, i m interested in estimating stochastic volatility of stock return (y) using kalman filter. But i m not so sure with the process. Currently im using this coding from the internet: @signal y = -1.27 + s + [var=4.9348] @state s = c(1) + c(2)*s(-1)+[var=(3)*2] param c(1) -10.8720 c(2) 0.2736 c(3) 4...

You can actually test for multicollinearity based on VIF on panel data. lets say the name of your equation is eq01, so type "eq01.varinf" and then click enter. then you will get centered (with constant) vif and uncentered (without constant) vif. Keep in mind, if your equation dont have con...