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standard errors in tsayp591
Posted: Tue May 20, 2008 12:04 am
by wardb
I used the tsayp591.prg to reproduce the results for Markov switching GARCH example from Tsay's Analysis of Financial Time Series, Example 12.6, but cannot obtain the estimated standard errors of the estimated parameters for the two regimes and their differences. I'd be most grateful if anyone could assist me with code. Thanks in advance.
Posted: Tue May 20, 2008 11:12 am
by TomDoan
Just add a STATISTICS instruction inside that final loop. That will compute the mean and variance of the MCMC draws for each of the parameters.
Code: Select all
do i=1,10
stats stats(i) 1 nkeep
density(type=histogram,counts,maxgrid=12) stats(i) 1 nkeep xx fx
scatter(style=bar,hlabel=vlabels(i))
# xx fx
end do i
tsayp591
Posted: Thu May 22, 2008 3:11 pm
by wardb
Thanks for the extra code, which was most helpful.