| HET The
HET command implements the estimation of models which require
correction for heteroskedastic errors.
In general, the format is:
HET depvar indeps (exogs) / options
The available options are:
| Option |
Description |
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PRESAMP
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Sets the initial value for the presample data in all iterations.
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ARCH=
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Specifies the order q of the ARCH process.
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ARCHM=
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Specifies the functional form for the ARCH-in-Mean term. Set ARCHM=0 for the log of the variance function and set ARCHM=0.5 for the square root of the variance function.
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GARCH=
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Specifies the order p of the lagged conditional variances in the GARCH process.
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GMATRIX=
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Specifies an NxK matrix to use to store the derivatives of the log-likelihood function at each observation. This option is not available with the NUMERIC option.
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MACH=
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Specifies the order of the moving average process in models with ARCH errors.
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MODEL=
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Specifies the form of heteroskedasticity.
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Available options are:
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ARCH - for ARCH models
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DEPVAR - Dependent Variable Heteroskedasticity
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MULT - Multiplicative Heteroskedasticity
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STDLIN - Standard Deviation is a linear function of exogenous variables
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VARLIN - Variance is a linear function of exogenous variables
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START=
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Specifies a vector of starting values for the estimation.
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STDRESID=
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Saves the standardized residuals in the variable specified.
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Other available options are:
DUMP, LININV, LINLOG, LIST, LOGINV, LOGLIN, LOGLOG, MAX, NOCONSTANT,
PCOR, PCOV, RSTAT, BEG=/END=, COEF=, COV=, PREDICT=, RESID=, STDERR= and
TRATIO= as defined for the OLS command.
NUMCOV, NUMERIC, OPGCOV, CONV=, ITER=, METHOD=, PITER= and
STEPSIZE= as defined for the NL command.
Temporary variables that are available are:
$ERR, $K, $LLF, $N and $R2OP
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