newsimpact 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).
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S456925.
Size: Programming language: Stata Requires: Stata version 9 Date of creation: 07 Apr 2008 Date of revision: Handle: RePEc:boc:bocode:s456925
Note: This module may 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 Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC