Search found 6 matches
- Sat Sep 16, 2017 6:57 am
- Forum: Estimation
- Topic: Likelihood function problem
- Replies: 6
- Views: 5753
Re: Likelihood function problem
RESID has no data. Are you sure you want it to depend on RESID? Hi Garath, thanks for your reply. yes. as for the GARCH (1,1), i would like to add it to the volatility model. i know that Eviews has package to do it in a simple way; however, i need to modify the mean equation in the following proced...
- Sat Sep 16, 2017 6:48 am
- Forum: Estimation
- Topic: Likelihood function problem
- Replies: 6
- Views: 5753
Re: Likelihood function problem
RESID has no data. Are you sure you want it to depend on RESID? Hi Garath, thanks for your reply. yes. as for the GARCH (1,1), i would like to add it to the volatility model. i know that Eviews has package to do it in a simple way; however, i need to modify the mean equation in the following proced...
- Fri Sep 15, 2017 7:39 am
- Forum: Estimation
- Topic: Likelihood function problem
- Replies: 6
- Views: 5753
Re: Likelihood function problem
the starting value is set based on
Code: Select all
equation basic.arch(ged, egarch, archm=var) er c tr @ op pe rf- Fri Sep 15, 2017 6:27 am
- Forum: Estimation
- Topic: Likelihood function problem
- Replies: 6
- Views: 5753
Re: Likelihood function problem
here is the workfile
- Fri Sep 15, 2017 6:23 am
- Forum: Estimation
- Topic: Likelihood function problem
- Replies: 6
- Views: 5753
Re: Likelihood function problem
sorry, the code is the below
Code: Select all
@logl logl1
res = er - c(1) - c(2)*var - c(4)*tr
LOG(var) = C(5) + C(6)*ABS(RESID(-1)/@SQRT(var(-1))) + C(7)*RESID(-1)/@SQRT(var(-1)) + C(8)*LOG(var(-1)) + C(9)*op+ C(10)*pe + C(11)*RF
logl1 = log(@dnorm(res/@sqrt(var))) - log(var)/2
- Fri Sep 15, 2017 6:19 am
- Forum: Estimation
- Topic: Likelihood function problem
- Replies: 6
- Views: 5753
Likelihood function problem
i was trying to use LOGl to estimate an EGARCH model, here is my code @logl logl1 res = er - c(1) - c(2)*var - c(3)*var*D - c(4)*tr LOG(var) = C(5) + C(6)*ABS(RESID(-1)/@SQRT(var(-1))) + C(7)*RESID(-1)/@SQRT(var(-1)) + C(8)*LOG(var(-1)) + C(9)*op+ C(10)*pe + C(11)*RF logl1 = log(@dnorm(res/@sqrt(var...