A(1,2)= A(2,1)=B(1,2)=B(2,1)=0
A(1,2)= B(1,2)=0
A(2,1)=B(2,1)=0的LR值怎么做呢,版面上只有wald检验,但是我想要Log Likelihood 的值。
问题二就是 做出来的方差协方差矩阵应该H12和H21是一样的,为什么我的方差协方差矩阵的结果不对呢。是不是命令出了问题呢?
下面附上rats中的程序和结果
OPEN DATA d:\g3.xls
DATA(FORMAT=XLS,ORG=COLUMNS) 1 735 x y
system(model=var1)
variables x y
lags 1
det constant
end(system)
garch(p=1,q=1,model=var1,mv=bek,pmethod=simplex,piters=10,hmatrices=hd,rvectors=rd) / x y
set z1 = rd(t)(1)/sqrt(hd(t)(1,1))
set z2 = rd(t)(2)/sqrt(hd(t)(2,2))
vcv(matrix=cc)
# z1 z2
MV-GARCH, BEKK - Estimation by BFGS
Convergence in 83 Iterations. Final criterion was 0.0000025 <= 0.0000100
Usable Observations 735
Log Likelihood 4025.12723804
Variable Coeff Std Error T-Stat Signif
********************************************************************************
1. X{1} 0.070628020 0.049771548 1.41904 0.15588616
2. Y{1} -0.020408705 0.022550521 -0.90502 0.36545403
3. Constant 0.001042360 0.000413057 2.52353 0.01161846
4. X{1} 0.043823947 0.054547617 0.80341 0.42173943
5. Y{1} 0.027756475 0.037243941 0.74526 0.45611365
6. Constant -0.001337052 0.000781602 -1.71065 0.08714484
7. C(1,1) 0.007780484 0.000685319 11.35309 0.00000000
8. C(2,1) 0.005125455 0.002461867 2.08194 0.03734814
9. C(2,2) -0.003681219 0.004313796 -0.85336 0.39345995
10. A(1,1) 0.944217921 0.067715686 13.94386 0.00000000
11. A(1,2) 0.045939664 0.071939086 0.63859 0.52308894
12. A(2,1) -0.461562000 0.028655712 -16.10716 0.00000000
13. A(2,2) 0.203434136 0.040978928 4.96436 0.00000069
14. B(1,1) 0.214487650 0.056693118 3.78331 0.00015476
15. B(1,2) -0.036176790 0.063426878 -0.57037 0.56842675
16. B(2,1) 0.133793783 0.043470552 3.07780 0.00208533
17. B(2,2) 0.944974012 0.023874395 39.58107 0.00000000
Covariance\Correlation Matrix
Z1 Z2
Z1 0.826095269 0.50430
Z2 0.466761738 1.036988422