Thank you very much for fixing the bugs. My one concern about deprecating the arch command is that it estimates much more quickly than the garch command (although using garch 0 24; stuff should be the same as using arch 24 stuff, in practice it doesn't estimate at anywhere near the same speed and indeed the garch command above can fail when the arch command doesn't). I think this is because the garch command uses a complex iterative approach to estimation, where the arch command does something else, but I'm only vaguely aware of this time series stuff, I know just the barest amount I've been able to cram into my head over the last little while.

 

Chris

 

On 6/16/07, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it> wrote:

On Sat, 16 Jun 2007, Allin Cottrell wrote:

> On Sat, 16 Jun 2007, Chris quoted me:
>
>> The arch command is a bit unusual (this should be probably be
>> changed): it's a test, plus ARCH estimation _if_ the test if
>> significant.  I suspect that in the case you're talking about the
>> ARCH effect is not significant, so no ARCH model is actually
>> returned.
>
> Sorry, that "explanation" is wrong.  The arch command _used to_
> work that way, but I rationalized the command at some point and
> now it's more standard: "arch" gives you an ARCH model, whether or
> not the ARCH effect is significant.  If you want to test for ARCH,
> you use the "lmtest" command with the --arch option.

I'm sorry, I don't know very much about the "arch" command (I don't recall
ever using it, at least not in a year or two), but doesn't that mean that
the "arch" and "garch" commands overlap considerably?

If this is the case, maybe we ought to consider merging the two commands
into one: for example, when the planned improvements to the "garch"
command are in place, we may declare "arch" obsolete and deprecate it.


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti@univpm.it
http://www.econ.univpm.it/lucchetti
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