Search found 3 matches
- Thu Feb 04, 2010 7:43 pm
- Forum: Looking for Code?
- Topic: CIPS test of Pesaran (2007)
- Replies: 2
- Views: 9450
CIPS test of Pesaran (2007)
Dear all: I like to try the CIPS test of Pesaran (2006) in my study. If anyone has the code in Rats, please let me know. I greatly appreciate it. [ps: Pesaran, M.H., 2006, A simple panel unit root test in the presence of cross section dependence, working paper, Dept. of Economics, Cambridge Univ.] T...
- Thu May 22, 2008 2:48 am
- Forum: ARCH and GARCH Models
- Topic: Markov Switching GJR-GARCH-M?
- Replies: 1
- Views: 8430
Markov Switching GJR-GARCH-M?
Dear all: I like to do a Markov Switching GJR-GARCH-M model which the regime-switching term is on the square-root of the conditional variance in mean equation. Unfortunately, I failed to complete it via modifying tsayp591, GrayGarch (1996) or SWARCH code. Please let me know if anyone has similar cod...
- Tue Jan 29, 2008 7:21 pm
- Forum: Help With Programming
- Topic: Log Likelihood Ratio test with 'MAXIMIZE' ?
- Replies: 2
- Views: 12939
Log Likelihood Ratio test with 'MAXIMIZE' ?
I like to do a log likelihood ratio test in my study, but my nonlinear form was done by 'MAXIMIZE', i.e. a general form of GARCH. I have already tried many alternative methods via Rats users manual and contacted support of Estima, but my problems remain as well. Please let me know if you have a simp...