300币寻GACD(1,1)模型代码

300币寻GACD(1,1)模型代码

GACD ==GACD(p, q) model if the innovation i follows the generalized Gamma distribution????
Time Series Analysis, Mr. R. Tsay网上的讲义里面是这样讲的。
给个Mr. R. Tsay得RATS程序吧，思想上，用fmincon()替换maximize函数，
http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/gacd.rats
** This program estimates a GACD(1,1) model.all 0  3534:1open data ibm1to5-dur.datdata(org=obs) / x set psi = 1.0nonlin a0 a1 b1 al ka frml cv = a0+a1*x(t-1)+b1*psi(t-1)                                frml gma = %LNGAMMA(ka)frml lam = exp(gma(t))/exp(%LNGAMMA(ka+(1.0/al)))frml xlam = x(t)/(lam(t)*(psi(t)=cv(t)))frml gln = -gma(t)+log(al/x(t))+ka*al*log(xlam(t))-(xlam(t))**alsmpl 2 3534compute a0 = 0.238, a1 = 0.075, b1 = 0.857, al = 0.5, ka = 4.0nlpar(criterion=value,cvcrit=0.00001)maximize(method=bhhh,recursive,iterations=150) gln set fv = cv(t)                       set resid = x(t)/fv(t) set residsq = resid(t)*resid(t) *** *** Checking standardized residuals ***cor(qstats,number=20,span=10) resid *** Checking squared standardized residuals ***cor(qstats,number=20,span=10) residsq 如果不是这个缩写，那就不知道了???

已解决哈
就是个简单的fmincon函数就OK了

liuxin9023 发表于 2011-4-8 14:47
已解决哈
就是个简单的fmincon函数就OK了

同学，请问怎么估计GACD模型啊？