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- Tue Jul 23, 2019 6:38 am
- Forum: ARCH and GARCH Models
- Topic: PANEL GARCH COVARIANCE SERIES
- Replies: 1
- Views: 5942
PANEL GARCH COVARIANCE SERIES
I am using the multivariate Garch program for obtaining the Panel GARCH estimates of Cermeno and Grier, (2006): all 175 open data panel912.xls data(format=xls,org=columns) *print / cpi7 cpi1 cpi2 cpi3 cpi4 cpi5 cpi6 * set dcpi1 = cpi1-cpi1{1} set dcpi2 = cpi2-cpi2{1} set dcpi3 = cpi3-cpi3{1} set dcp...