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New multivariate time-series estimators in Stata

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  • David M. Drukker

    ()
    (StataCorp)

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    Abstract

    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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    File URL: http://repec.org/dcon09/dc09_drukker_mvts.pdf
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    Bibliographic Info

    Paper provided by Stata Users Group in its series DC09 Stata Conference with number 12.

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    Date of creation: 11 Aug 2009
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    Handle: RePEc:boc:dcon09:12

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    Web page: http://www.stata.com/meeting/dcconf09/
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    1. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
    2. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
    3. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
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