New multivariate time-series estimators in Stata
AbstractStata 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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Bibliographic InfoPaper provided by Stata Users Group in its series DC09 Stata Conference with number 12.
Date of creation: 11 Aug 2009
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-16 (All new papers)
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