NEWSIMPACT: Stata module to compute news impact curve for ARCH models
Abstractnewsimpact is for use after arch. It plots the news impact curve, the response in the conditional variance, sigma^2(t), to an innovation in the standardized error term, z(t-1). When calculating the response in sigma^2(t) historical conditional variances (sigma^2(t-i), i > 0) are set to sigma^2 and historical error terms (z(t-i), i > 1) are set to 1. The default value for sigma^2 is an estimate of the unconditional variance, the mean of the estimated conditional variances. Finally error terms that enter in the conditional variance formula are obtained as e(t) = sigma*z(t).
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S456925.
Programming language: Stata
Requires: Stata version 9
Date of creation: 07 Apr 2008
Date of revision:
Note: This module should be installed from within Stata by typing "ssc install newsimpact". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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