I know that EViews can not drop the constant term in the variance equation.
Is there any reasons or the restrictions of the model such that the built in estimation method does not have this function?
Thanks for help.
Search found 5 matches
- Thu Aug 11, 2016 6:44 pm
- Forum: Estimation
- Topic: GARCH(1,1) without constant in variance regressor
- Replies: 0
- Views: 2223
- Mon Jun 27, 2016 6:27 pm
- Forum: Programming
- Topic: How to get AR coefficient from an ARMA(m,n) model
- Replies: 3
- Views: 3438
Re: How to get AR coefficient from an ARMA(m,n) model
If I want get the coef of the garch term, how can I find n to use eq1.@coef(n)?
Should I use n=eq1.@ncoef?
Should I use n=eq1.@ncoef?
- Mon Jun 27, 2016 4:53 pm
- Forum: Programming
- Topic: How to get AR coefficient from an ARMA(m,n) model
- Replies: 3
- Views: 3438
How to get AR coefficient from an ARMA(m,n) model
If I set a maximum of AR and MA term, like MaxAR=3 MaxMA=2. I want to test all the possible combination of ARMA model. For example: equation eq1.ARCH(thrsh=1,DERIV=AA) eq AR(1) MA(1) equation eq2.ARCH(thrsh=1,DERIV=AA) eq AR(2) MA(1) equation eq3.ARCH(thrsh=1,DERIV=AA) eq AR(3) MA(1) equation eq4.AR...
- Mon Jun 27, 2016 4:04 pm
- Forum: Programming
- Topic: How to get the p-value of arch lm test?
- Replies: 2
- Views: 3229
Re: How to get the p-value of arch lm test?
Thanks a lot.
- Mon Jun 27, 2016 8:36 am
- Forum: Programming
- Topic: How to get the p-value of arch lm test?
- Replies: 2
- Views: 3229
How to get the p-value of arch lm test?
I want to use the p-value of the arch lm test to choose the model.
I know how to conduct arch lm test,
the code is as following: (using eviews 6)
equation eqarma11.ARCH(thrsh=1,DERIV=AA) eq AR(1) MA(1)
eqarma11.archtest(6)
But how should I get the Prob. Chi-Square(6)?
Thanks for help.
I know how to conduct arch lm test,
the code is as following: (using eviews 6)
equation eqarma11.ARCH(thrsh=1,DERIV=AA) eq AR(1) MA(1)
eqarma11.archtest(6)
But how should I get the Prob. Chi-Square(6)?
Thanks for help.