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Please somebody help me in getting the F-stat of GARCH estimation in Eviews-7?
Its not coming in output table..

We dropped it from the output, since we felt it wasn't being calculated properly.

EViews 6 would compute the F-statistic 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 no-regressors (other than constant) model which has GARCH/ARCH terms. Since this would require re-estimating a model, it was decided to simply drop the F-stat.

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

That's exactly how it is calculated. Could you provide an example of it not matching?

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.

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 F-stat? I mean where to write it..?? If you can give a protocol to do this...

Code: Select all

scalar f_p_value = 1 - @cfdist(eq01.@f, eq01.@ncoef-1, eq01.@regobs-eq01.@ncoef)

Hi.
I'm trying to calculate the F-stat 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 F-stat 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

As mentioned above, EViews 7 does not calculate the F stat for GARCH/ARCH models.

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 F-test formula [ (RSS1-RSS2/P2-P1)/RSS2/N-P2] ?