STAR-STGARCH: GAUSS modules to estimate STAR models with ST-GARCH errors

Stefan Lundbergh ()
Additional contact information
Stefan Lundbergh: Skandia Asset Management

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: GAUSS
Requires: GAUSS
Keywords: smooth transition autoregression; GARCH (search for similar items in EconPapers)
Date: 1998-10-09
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/stcode.zip program archive (application/zip)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
http://swopec.hhs.se/hastef/papers/hastef0291.pdf documentation (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:g111201

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().