The RATS Software Forum

Hi Tom Re above, I would be grateful if you could show me how to cope with different mean and variance slope dummies, say e.g. Dy1t*rt; Dy2t*rt; Dy3t*rt, where Dyit take different time series values of 1 and 0 depending on the variable being analyzed, (e.g. in the above example, y1=xjpn, y2=xfra, y3...

Cheers and thank you for your prompt reply and for this solution. At the moment I am using the same dummies for each i but as I take the project forward this will change.

CAN YOU HELP PLEASE I AM A NEW USER. I AM USING THE ESTIMA PANEL GARCH (1,1) EXAMPLE WITH THEIR XRATE DATA (FOR CONVENIENCE TO GET CODING CORRECT). I WILL EVENTUALLY APPLY TO A LARGER PANEL OF RETURNS WITH MORE DUMMIES AND POSSIBLY MORE AR TERMS. TO START I HAVE INCORPORATED ONE DUMMY AND ONE AR(1) ...