小妹根据论坛高人给出的bv-garch编程，结果运行到bvgarch.ml(showopts, m=100, c=1e-5)报错说“!mlog2pi is not defined in logl =-0.5*(!mlog2pi + (invh1*sqres1+2*invh2*res1res2+invh3*sqres2) + log(deth))". 我看了很多例子都没发现哪里有问题，有没有人能帮着解答一下？？急死我~~
附件里是我用的数据，大家可以试试~~不胜感激！！
sample s0 1 453
sample s1 1 453
smpl s0
equation eq1.arch(m=100,c=1e-5) rlme c
equation eq2.arch(m=100,c=1e-5) rshfe c
coef(2) mu
mu(1) = eq1.c(1)
mu(2)= eq2.c(1)
coef(3) omega
omega(1)=(eq1.c(2))^.5
omega(2)=.1
omega(3)=(eq2.c(2))^.5
coef(4) alpha
alpha(1) = (eq1.c(3))^.5
alpha(2) =.1
alpha(3)= (eq2.c(3))^.5
alpha(4)=.1
coef(4) beta
beta(1)= (eq1.c(4))^.5
beta(2)=.1
beta(3)= (eq2.c(4))^.5
beta(4)=.1
!mlog2pi = 2*log([email=2*@acos(-1]2*@acos(-1[/email]))
series cov_y1y2 = @cov(rlme-mu(1), rshfe-mu(2))
series var_y1 = @var(rlme)
series var_y2 = @var(rshfe)
series sqres1 = (rlme-mu(1))^2
series sqres2 = (rshfe-mu(2))^2
series res1res2 = (rlme-mu(1))*(rshfe-mu(2))
logl bvgarch
bvgarch.append @logl logl
bvgarch.append sqres1 = (rlme-mu(1))^2
bvgarch.append sqres2 = (rshfe-mu(2))^2
bvgarch.append res1res2 = (rlme-mu(1))*(rshfe-mu(2))
bvgarch.append var_y1=omega(1)^2 + beta(1)^2*var_y1(-1) + 2*beta(1)*beta(4)*cov_y1y2(-1)+beta(4)^2*var_y2(-1)+alpha(1)^2*sqres1(-1)+2*alpha(1)*alpha(4)*res1res2(-1)+alpha(4)^2*sqres2(-1)
bvgarch.append var_y2=omega(3)^2+omega(2)^2 + beta(3)^2*var_y2(-1) + beta(2)^2*var_y1(-1)+2*beta(2)*beta(3)*cov_y1y2(-1)+ alpha(2)^2*sqres1(-1)+2*alpha(2)*alpha(3)*res1res2(-1)+alpha(3)^2*sqres2(-1)
bvgarch.append cov_y1y2 = omega(1)*omega(2) +beta(2)*beta(1)*var_y1(-1) +(beta(2)*beta(4)+beta(1)*beta(3))*cov_y1y2(-1)+beta(3)*beta(4)*var_y2(-1)+alpha(1)*alpha(2)*sqres1(-1)+alpha(3)*alpha(4)*sqres2(-1)+( alpha(3)*alpha(1)+alpha(2)*alpha(4))*res1res2(-1)
bvgarch.append deth =var_y1*var_y2 - cov_y1y2^2
bvgarch.append invh1 = var_y2/deth
bvgarch.append invh3 = var_y1/deth
bvgarch.append invh2 = -cov_y1y2/deth
bvgarch.append logl =-0.5*(!mlog2pi + (invh1*sqres1+2*invh2*res1res2+invh3*sqres2) + log(deth))
smpl s1
bvgarch.ml(showopts, m=100, c=1e-5)
show bvgarch.output
graph varcov.line var_y1 var_y2 cov_y1y2
show varcov
scalar lr = -2*( [email=eq1.@logl]eq1.@logl[/email] + [email=eq2.@logl]eq2.@logl[/email] - [email=bvgarch.@logl]bvgarch.@logl[/email] )
scalar lr_pval = 1 - @cchisq(lr,1)