The RATS Software Forum

Dear all,

I would like to ask if there is a way to obtain the significance level of a parameter from the GARCH estimation.
I am looking for something like %tstats but instead of the tstatistics to get the p-value.

Thank you,

Dimitris

this will do it:

dec vect mysignif(%nreg)
ewise mysignif(i)=%ztest(%tstats(i))

Thank you Tom, worked perfectly!