Estimating residuals in EGARCH model ?
Posted: 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!
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!