Estimating residuals in EGARCH model ?

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Rosa.hh
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Joined: Tue Dec 14, 2010 8:07 am

Estimating residuals in EGARCH model ?

Postby Rosa.hh » Wed Jan 26, 2011 2:59 am

Hi,

My final goal is to make a joint significant test when using an EGARCH estimation. Given Eviews7 does not provide an F-stat, I want to program the estimation myself.

I have only managed to calculate overall residual using the code below but what I want to apply is the F-test for 2 specific variables in an equation.
Any idea of how to do program an F-test?

eqt3.makeresid indepvariable

Thanks!

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