Please somebody help me in getting the Fstat of GARCH estimation in Eviews7?
Its not coming in output table..
How to get Fstat in GARCH/ARCH estimation?
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 Fe ddaethom, fe welon, fe amcangyfrifon
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Re: How to get Fstat in GARCH/ARCH estimation?
We dropped it from the output, since we felt it wasn't being calculated properly.
EViews 6 would compute the Fstatistic by comparing the estimated equation against a constant only (i.e. no GARCH/ARCH terms) model, when in fact what you really want to do is compare it to the noregressors (other than constant) model which has GARCH/ARCH terms. Since this would require reestimating a model, it was decided to simply drop the Fstat.
EViews 6 would compute the Fstatistic by comparing the estimated equation against a constant only (i.e. no GARCH/ARCH terms) model, when in fact what you really want to do is compare it to the noregressors (other than constant) model which has GARCH/ARCH terms. Since this would require reestimating a model, it was decided to simply drop the Fstat.
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Re: How to get Fstat in GARCH/ARCH estimation?
Gareth, I have used the code below for calculating the probability of F. Although it is a good approximation, it is quite often different from the F calculated by Eviews.
Could you provide the formula Eviews uses for calculating it? Which is more accurate?
Thank You, Fabio
Could you provide the formula Eviews uses for calculating it? Which is more accurate?
Thank You, Fabio
Code: Select all
scalar f_p_value = 1  @cfdist(eq01.@f, eq01.@ncoef1, eq01.@regobseq01.@ncoef)

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12854
 Joined: Tue Sep 16, 2008 5:38 pm
Re: How to get Fstat in GARCH/ARCH estimation?
That's exactly how it is calculated. Could you provide an example of it not matching?
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Re: How to get Fstat in GARCH/ARCH estimation?
I have been running this code for a while and some times I get two different values. But I dont get an example right nwo. I ll try to remember posting it next time I get it. Probably my mistake. Thanks.

 Posts: 6
 Joined: Tue Apr 20, 2010 8:22 am
Re: How to get Fstat in GARCH/ARCH estimation?
Many Many Thanks Gareth and Fmgoto for your prompt reply..
Thanks a ton..\
But Gareth and Fmgoto can you tell me how to put this code to get Fstat? I mean where to write it..?? If you can give a protocol to do this...
Thanks a ton..\
But Gareth and Fmgoto can you tell me how to put this code to get Fstat? I mean where to write it..?? If you can give a protocol to do this...
Re: How to get Fstat in GARCH/ARCH estimation?
fmgoto wrote:Code: Select all
scalar f_p_value = 1  @cfdist(eq01.@f, eq01.@ncoef1, eq01.@regobseq01.@ncoef)
Hi.
I'm trying to calculate the Fstat in an EGARCH estimation using the code above however it is not working for me when using the specification below.
Any idea of what should I do to calculate the Fstat using an EGARCH model? I enclose my database
Thanks a lot,
equation eq01.arch(1,1,egarch,m=1000,h) dlner c dlner(1 to 1) i_diff(0 to 0) BOG_APR BOG_NET BOG_DEP mon tue wed thu @ BOG_APR BOG_NET BOG_DEP mon tue wed thu
 Attachments

 basefile.WF1
 (295.01 KiB) Downloaded 174 times

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12854
 Joined: Tue Sep 16, 2008 5:38 pm
Re: How to get Fstat in GARCH/ARCH estimation?
As mentioned above, EViews 7 does not calculate the F stat for GARCH/ARCH models.
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Re: How to get Fstat in GARCH/ARCH estimation?
Thanks for the quick response Gareth. Is there any alternative to applying a joint significance test in EGARCH estimations? Is it possible to calculate it from scratch using the Ftest formula [ (RSS1RSS2/P2P1)/RSS2/NP2] ?
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