English, Article edition: STAR-STGARCH: GAUSS modules to estimate STAR models with ST-GARCH errors Stefan Lundbergh

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Bookmark: http://trove.nla.gov.au/version/103150
Physical Description
  • code
Language
  • English

Edition details

Title
  • STAR-STGARCH: GAUSS modules to estimate STAR models with ST-GARCH errors
Author
  • Stefan Lundbergh
Physical Description
  • code
Notes
  • This GAUSS package can be used for specifying, estimating and evaluating Smooth Transition Autoregressive - Smooth Transition GARCH models. The user can test linearity against STAR, specify and estimate a STAR model for the conditional mean, test the null of no ARCH, and, if rejected, estimate a GARCH model. After that, the user can carry out misspecification tests for the estimated GARCH model and, if the results suggest such a step, estimate a STGARCH model for the conditional variance.
  • smooth transition autoregression, GARCH
  • RePEc:boc:bocode:g111201
Language
  • English
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