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Dear all, I am using an ordred probit model, in which my latent variable is buy, sell or no transaction. I assigned +1 to buy, 0 for no transaction , and -1 to sell. I ran the regression with latent variable as my dependent variable against a list od independent variables, and it went OK with no err...

Thank you Gene.

Thank you Gareth. One more question, do you know of any other way to compare among different GARCH type models, I am using the same dependent and independent variables in GARCH (1,1), TGARCH and GARCH in mean, and want to find the model that has the best fit, Should I use the information criteria, o...

Thanks Gareth for the prompt reply.
If I want to output the GARCH equation, I go to proc and select the "make the GARCH variance series", is this the fitted variance?

Dear all, What is the fitted values in GARCH estimations, is it the fitted values for the mean equation or the variance equation? ALso can I use the J test to compare between GARCH(1,1) and TGARCH models. What is the best way to compare between different GARCH models, is it the maximum likelihood, o...

Dear all, I am working on different types of GARCH models like the simple GARCH (1,1), GARCH in mean, Threshold GARCH, and exponential GARCH models. How can I compare among them using the Likelihood Ratio test, I have eviews 6 and I can't find a command for likelihood ratio, it is only available in ...

Dear all, I want to estimate a system of equations simaltaneously,I am running a the system using SURE (seemingly unrelated regression). I usually get negative R squared for at least one or two of the equations. Why would this happen? and if this is possible how can I comment on the model. This also...