Matlab; MFE Toolbox; Infer Residuals from the Condtitional Variance Equation

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NNN

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Hey Matlab Gurus,

i am aiming to infer the residuals\innovations from the conditional variance equation.

The Econometrics toolbox allows this easily, due to the fact that the innovations are part of the specified output.

The MFE Toolbox, i want to use, does not contain such an easy procedure.

The output is given by:

___________________________

[PARAMETERS,LL,HT,VCVROBUST,VCV,SCORES,DIAGNOSTICS] = tarch(inputs)

where
PARAMETERS
LL: Log-likelihood at the optimum.
HT: T by 1 vector of fit conditional variances
VCVROBUST: The Bollerslev-Wooldridge robust covariance matrix of the estimated parameters. VCV: The maximum likelihood covariance matrix (inverse Hessian) of the estimated parameters.
SCORES: A T by number of parameters matrix of scores of the parameters. Used in some diagnostic
tests.
DIAGNOSTICS: A structure that contains information about the status of the optimizer. Useful for
checking if there are convergence problems.

___________________________

The function garchinfer uses the specification structure which the MFE toolbox does not use; therefore this attempt was not succesful.

So, i would be really grateful if anybody could provide a solution. Thanks in Advance.
 
NNN said:
Hey Matlab Gurus,

i am aiming to infer the residuals\innovations from the conditional variance equation.

The Econometrics toolbox allows this easily, due to the fact that the innovations are part of the specified output.

The MFE Toolbox, i want to use, does not contain such an easy procedure.

The output is given by:

___________________________

[PARAMETERS,LL,HT,VCVROBUST,VCV,SCORES,DIAGNOSTICS] = tarch(inputs)

where
PARAMETERS
LL: Log-likelihood at the optimum.
HT: T by 1 vector of fit conditional variances
VCVROBUST: The Bollerslev-Wooldridge robust covariance matrix of the estimated parameters. VCV: The maximum likelihood covariance matrix (inverse Hessian) of the estimated parameters.
SCORES: A T by number of parameters matrix of scores of the parameters. Used in some diagnostic
tests.
DIAGNOSTICS: A structure that contains information about the status of the optimizer. Useful for
checking if there are convergence problems.

___________________________

The function garchinfer uses the specification structure which the MFE toolbox does not use; therefore this attempt was not succesful.

So, i would be really grateful if anybody could provide a solution. Thanks in Advance.
Click to expand...


Hi , I'm not sure I fully understood, you want to build yourself functions that are in some Matlab toolbox?
 
I just want the residuals from the estimated variances equation.

The Matlab Econometrics toolbox provides via the function garchinfer to calculate these.

This garchinfer function uses a certain specification structure, which is not compatible with the structure in the MFE Toolbox.

Therefore i am able to get the residuals when i do an estimation in the econometrics toolbox, but not in the MFE Toolbox.
 
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