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New multivariate time-series estimators in Stata

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  • David M. Drukker

    () (StataCorp)

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.

Suggested Citation

  • David M. Drukker, 2009. "New multivariate time-series estimators in Stata," DC09 Stata Conference 12, Stata Users Group.
  • Handle: RePEc:boc:dcon09:12
    as

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    1. 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 116-131, February.
    2. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
    3. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
    4. 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.
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