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how to select mean equation in MVgarch model?
Posted: Sun Apr 24, 2011 5:17 am
by hardmann
Dear Tom:
sorry. I know how to specify mean equation in Mvgarch.
but I do not know how to select mean equation. eg, Under what circumstances, to choose var, or arma.
thanks again
Thank you.
Sorry, I become a king of question.
Hardmann
Re: how to specify mean equation in MVgarch model?
Posted: Mon Apr 25, 2011 11:08 am
by moderator
We cover this in some detail in the RATS User's Guide. For example, if you have version 8, see Section 9.8.1 ("The Mean Model").
The key point is to define your mean model as a MODEL object, and then use the MODEL option on GARCH. There's an example in the User's Guide section noted above demonstrating the setup for a VAR model.
Regards,
Tom Maycock
Re: how to specify mean equation in MVgarch model?
Posted: Tue Apr 26, 2011 9:23 am
by TomDoan
hardmann wrote:Dear Tom:
How to specify mean equation in MVgarch model, var or arma? what is rule?
Thank you.
Sorry, I become a king of question.
Hardmann
Start small (just means) and check your diagnostics for serial correlation in the standardized residuals. There is no "rule".
Re: how to select mean equation in MVgarch model?
Posted: Wed Apr 27, 2011 7:59 am
by hardmann
sorry. I know how to specify mean equation in Mvgarch.
but I do not know how to select mean equation. eg, Under what circumstances, to choose var, or arma.
thanks again.
hardmann