New multivariate time-series estimators in Stata

Stata 11 has new commands sspace and dvech for estimating the parameters of space-space models and diagonal-vech multivariate GARCH models, respectively. In this presentation, I provide an introduction to space-space models, diagonal-vech multivariate GARCH models, the implemented estimators, and the new Stata commands.

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Year of publication:	2009-08-11
Authors:	Drukker, David M.
Institutions:	Stata User Group

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Extent:	application/pdf
Series:	DC09 Stata Conference.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005009815