<< GARCH models
Grocer
Kalman filter estimation >>
Grocer
>> Automatic estimation
Automatic estimation
auto_stage0
—
elimination of non significative variables
auto_stage1
—
search of a statistically admissible regression
auto_test
—
build specification tests function and vector of names
automatic
—
automatic general to specific regression
automatic_signed
—
automatic general to specific regression with sign constraints on coefficients
def_results
—
creation of two tlists for subsequent regressions
ols1a
—
ordinary least squares
ols2a
—
ordinary least squares
ols3a
—
ordinary least squares
test_spec0
—
five specification tests
<< GARCH models
Grocer
Kalman filter estimation >>