Hello everyone,
I wanted to run a mean equation using OLS with robust s.e.,, like below:
reg ir L.ir L.gr L.dummy, vce(robust)
predict ir_ols_res,res
where ir is irish 10-year yield, gr is the greek one and a dummy variable.
Then, I want to run EGARCH with the residuals from the above regression. So, I figured that I can just use the residuals from the above without constant as below:
arch ir_ols_res, noconstant earch(1/1) egarch(1/1)
Does that make sense, is it correct?
Thank you,
Related Posts with Egarch
Predicted probabilities out of range after HeckmanDear all, I would like to know your opinion on the following issue I am encountering: I am running …
The Number of Iterations for Convergence in mlI am writing a programme for the ml command. I found that even if a slight difference in my codes ca…
Reshape commandHello everybody I'd like to reshape my data from wide to long format but as the name of my variable…
mvprobit or cmp?Dear STATA Users, I am trying to estimate a multivariate probit for a given outcome that would mode…
Question about AR test of xtabondDear all, I have a question about xtabond.We can use --estat abond--to do the AR test of the error …
Subscribe to:
Post Comments (Atom)
0 Response to Egarch
Post a Comment