[18959] in s-news-athena
[S] S+GARCh standard errors
daemon@ATHENA.MIT.EDU (=?iso-8859-1?q?Manos=20Venardos?=)
Wed Aug 18 03:27:34 1999
Message-Id: <19990818071953.17086.rocketmail@web601.yahoomail.com>
Date: Wed, 18 Aug 1999 08:19:53 +0100 (BST)
From: =?iso-8859-1?q?Manos=20Venardos?= <evenos@yahoo.co.uk>
To: s-news@wubios.wustl.edu
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I am using the command
mod<-mgarch(data~1,~dvec(1,1))
to estimate a bivariate dvec(1,1) model for the data series data. When
I use the command
summary(mod)
I get the parameters' estimates and their standard errors but not their
covariances. Is there any way of obtaining the whole hessian to
estimate the covariances of the estimators? The reason I need them is
to test for example whether the sum of two coefficients equals x or
not.
The Hessian would also be very helpful in adjusting the standard errors
of the estimators under quasi-likelihood.
Thank you in advance
Manos Venardos
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