STATA 11 dvech - Eviews program?
Posted: Wed Feb 03, 2010 7:21 am
Hello:
In STATA 11, there is a new command DVECH that estimates systems of equations with GARCH. Is there any such utility in Eviews? Or should I write my own program such as TVGARCH discussed in the forums?
http://www.stata.com/stata11/mgarch.html
"New estimation command dvech estimates diagonal vech multivariate GARCH models. These models allow the conditional variance matrix of the dependent variables to follow a flexible dynamic structure in which each element of the current conditional variance matrix depends on its own past and on past shocks."
2. I tried to send a personal message to couple of members seeking tips on the above. When I submitted the message, it went to the outbox but not actually sent. How to make sure that the message is sent.
Thank you for your reply.
Subbu
In STATA 11, there is a new command DVECH that estimates systems of equations with GARCH. Is there any such utility in Eviews? Or should I write my own program such as TVGARCH discussed in the forums?
http://www.stata.com/stata11/mgarch.html
"New estimation command dvech estimates diagonal vech multivariate GARCH models. These models allow the conditional variance matrix of the dependent variables to follow a flexible dynamic structure in which each element of the current conditional variance matrix depends on its own past and on past shocks."
2. I tried to send a personal message to couple of members seeking tips on the above. When I submitted the message, it went to the outbox but not actually sent. How to make sure that the message is sent.
Thank you for your reply.
Subbu