New multivariate time-series estimators in Stata

David Drukker

DC09 Stata Conference from Stata Users Group

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.

Date: 2009-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:boc:dcon09:12

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