作者i323121 ()
看板Statistics
标题[程式] Stata读取问题
时间Wed Nov 4 20:03:04 2009
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[软体程式类别]:
Stata
[程式问题]:
汇入一些资料,跑MA(1)-GARCH(1,1)得到下面的程式,现在想把ARCH里的
arch L1.(0.1188051) 和 garch L1.(0.877624 )做限制constraint,
使得: arch L1.+garch L1.=1
想请问板上的高手 要输入甚麽程式才跑得出来
[软体熟悉度]
低(1~3个月)
[程式范例]:
------------------------------------------------------------------------------
| OPG
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
v1 |
_cons | .0007253 .0002085 3.48 0.001 .0003167 .0011339
-------------+----------------------------------------------------------------
ARMA |
ma |
L1. | .1028566 .0239535 4.29 0.000 .0559085 .1498046
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .1188051 .0095546 12.43 0.000 .1000784 .1375318
garch |
L1. | .877624 .0103163 85.07 0.000 .8574044 .8978436
_cons | 1.32e-06 3.22e-07 4.10 0.000 6.89e-07 1.95e-06
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