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Hanyu
Fluorite | Level 6 Hanyu
Fluorite | Level 6

GARCH(1,1) and IML

Posted 04-04-2014 04:19 AM (839 views)

I want to estimate a GARCH(1,1) model in IML because I want to use some numerical derivative subroutine of IML. In addition, I have a multi-step estimation system. I need to adjust the covariance matrix according to Newey and Mcfadden (1994) chapter 36 of Handbook of Econometrics. Anyone has any idea how to implement it in IML? Any comment is appreciated. Thank you in advance.

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stoffprof
Calcite | Level 5 stoffprof
Calcite | Level 5

Re: GARCH(1,1) and IML

Posted 04-20-2014 08:51 PM (746 views)  |   In reply to Hanyu

Why can't you use proc model? For example, see here.

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  • ‎04-04-2014 04:19 AM
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