This GAUSS package can be used for specifying, estimating and evaluating Smooth Transition Autoregressive - Smooth Transition GARCH models. The user can test linearity against STAR, specify and estimate a STAR model for the conditional mean, test the null of no ARCH, and, if rejected, estimate a GARCH model. After that, the user can carry out misspecification tests for the estimated GARCH model and, if the results suggest such a step, estimate a STGARCH model for the conditional variance.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
G111201.
Size: Programming language: GAUSS Requires: GAUSS Date of creation: 09 Oct 1998 Date of revision: Handle: RePEc:boc:bocode:g111201
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC