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SAS/IML Software and Matrix Computations

Statistical programming, matrix languages, and more
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Hanyu
Obsidian | Level 7 Hanyu
Obsidian | Level 7

GARCH(1,1) and IML

Posted 04-04-2014 04:19 AM (1188 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
Fluorite | Level 6 stoffprof
Fluorite | Level 6

Re: GARCH(1,1) and IML

Posted 04-20-2014 08:51 PM (1095 views)  |   In reply to Hanyu

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

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