Dear Ox Users,
Announcing Long Memory Modelling Version 2:
An Ox 3.10 package to estimate ARIMA/ARFIMA time series
models with GARCH/FIGARCH/ HYGARCH residuals.
Implements conditional quasi-ML (Gaussian + Student's t)
and Whittle likelihood.
Major extensions in Version 2 are:
* allows regressors, in various dynamic configurations
('error dynamics' and 'structural dynamics')
* additional GARCH options (GARCH-M, TARCH,
exogenous variables)
* user-coded nonlinear equations.
* Wald tests of parameter restrictions.
As before, it's free and available as source code.
Inspect the HTML documentation at
http://www.cf.ac.uk/carbs/econ/davidsonje/LMMod2.htm
Download from
http://www.cf.ac.uk/carbs/econ/davidsonje/LMMod2.zip
For the moment, please regard this as a beta release. Check for updates,
also kindly report any bugs or problems.
Regards
James
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James Davidson
Professor of Econometrics
Cardiff Business School
Colum Drive, Cardiff CF10 3EU, UK
Phone: 02920 874558
Fax: 02920 874419
Home Phone/Fax: 01974 282319
Email: [log in to unmask]
Web: http://www.cf.ac.uk/carbs/econ/davidsonje
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