cancel
Turn on suggestions
Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.
Showing results for 
Search instead for 
Did you mean: 
BookmarkSubscribeRSS Feed
Hanyu
Obsidian | Level 7 Hanyu
Obsidian | Level 7

GARCH(1,1) and IML

Posted 04-04-2014 04:19 AM (1078 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.

0 Likes
Reply
1 REPLY 1
stoffprof
Fluorite | Level 6 stoffprof
Fluorite | Level 6

Re: GARCH(1,1) and IML

Posted 04-20-2014 08:51 PM (985 views)  |   In reply to Hanyu

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

0 Likes
Reply

SAS Innovate 2025: Register Today!

 

Join us for SAS Innovate 2025, our biggest and most exciting global event of the year, in Orlando, FL, from May 6-9. Sign up by March 14 for just $795.


Register now!

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Watch Multiple Linear Regression in SAS on YouTube

Find more tutorials on the SAS Users YouTube channel.

From The DO Loop
Want more? Visit our blog for more articles like these.
Discussion stats
  • 1 reply
  • ‎04-04-2014 04:19 AM
  • 1079 views
  • 0 likes
  • 2 in conversation