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Dear Tom:

While I estimate a MVgarch model, I could do wald test by using "restrict" or "test" command.
However, how could I get Likelihood ratio throgh comparing restricted and unrestric model.


Hardmann

hardmann wrote:Dear Tom:

While I estimate a MVgarch model, I could do wald test by using "restrict" or "test" command.
However, how could I get Likelihood ratio throgh comparing restricted and unrestric model.


Hardmann

MAXIMIZE and GARCH both define the %LOGL variable. Estimate one model, save %LOGL, estimate the other, and do a test on the difference. The PROBIT.RPF example does this for a probit model.