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Hang Qian


Iowa State University

Last seen: 6 giorni fa |  Attivo dal 2011

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He is a researcher in time series analysis and Bayesian econometrics. Professional Interests: Bayesian Econometrics

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MIDAS Matlab Toolbox
Repack of Mi(xed) Da(ta) S(ampling) regressions (MIDAS) written by Eric Ghysels and collaborators

oltre 3 anni fa | 26 download |

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time series with rolling returns using periodicreturns
Yes, you can use these returns for time series model estimation (arima, arima-garch etc) and forecasting. If the daily return is...

circa 6 anni fa | 1

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Econometrics Toolbox Cross Correlation, how to use?
Hi Mehmet, If your time series is sorted from newest to oldest, the first thing that you may want to do is to revert the orde...

oltre 6 anni fa | 0

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(G)ARCH estimation. Input series.
Hi Dmitry, If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like ...

oltre 6 anni fa | 0

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How to decide the stationary about time series.
Hi Hong, As the name suggests, ADF is Dickey-Fuller test augmented by lagged regressors. The default value of MATLAB function...

oltre 6 anni fa | 1

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Correct fmincon() constraints for GARCH?
Hi Michael, Typically we add some inequality constraints to ensure a positive conditional variance in the GARCH(1,1) model, l...

quasi 7 anni fa | 0

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Error using garch/validateModel; Non-zero degree P requires a non-zero degree Q.
There is a work-around: *set the optimization algorithm as interior-point so that Q will not be exactly zero.* options = opt...

quasi 7 anni fa | 0

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Handling with an Error caused by using GARCH(1,1) in Matlab
Hi Manuel, The error message “Non-zero degree P requires a non-zero degree Q” basically says that the conditional volatility ...

quasi 7 anni fa | 0

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augmented dickey fuller Matlab
Hi Jan, Yes, ADFTEST without augmentation is the standard Dickey-Fuller test, where Y(t) = c + phi * Y(t-1) + noise, H0...

circa 7 anni fa | 2

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Matlab arima estimate error
I guess that the lower bound constraints become effective under some model specifications. When the estimated model has a reduce...

circa 7 anni fa | 0

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VMA(1) estimation
Hi Wei, In many cases, the VMA coefficients cannot be reliably estimated, unless there is a large sample with high quality da...

oltre 7 anni fa | 0

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new Garch fit function
Hi Muhamed, The new GARCH fit function is called “estimate”, which uses data to estimate the unknown parameters in the GARCH ...

oltre 7 anni fa | 0

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hac function: pvalues or confidence intervals
Hi Fregior, Yes, the point estimator returned by HAC is the same as the OLS estimator. HAC returns the covariance matrix E...

oltre 7 anni fa | 0

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How do I compute bootstrap confidence interval for a VAR impulse response function?
Hi Samuel, To bootstrap the confidence interval, simulate VAR coefficients using the VAR point estimator and its covariance m...

oltre 7 anni fa | 0

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What are the differences in implementation of ARIMA models (estimate and forecast) in R2015b vs R2017a
Hi Jonas, ARIMA model is estimated by maximum likelihood, which requires numeric maximization using the Optimization Toolbox. T...

oltre 7 anni fa | 0

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hac results vary bewteen MATLAB R2015b and MATLAB R2016b
Hi Lucia, Thank you for reporting this edge case. The codes work on my Windows computer both in R2016a and R2016b. The res...

quasi 8 anni fa | 0

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Question about GARCH forecast command
Hello - In GARCH models, the input argument ‘numPeriods’ represents forecast horizon, say the conditional volatility for y(t...

quasi 8 anni fa | 0

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How to subtract two matrices of character type arrays?
You may consider row-wise comparison (possibly in a FOR loop) setxor({'a','b','c','d','e'},{'a','b'}) setxor({'a','b','c',...

circa 8 anni fa | 0

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panel ols with unbalanced data
Hi Alberto, For an unbalanced panel data set, one may consider padding NaNs in the response variables for those cross-section...

circa 8 anni fa | 1

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converting garchsim with simulate or filter
Hello Sandro, GARCHSIM has been retired and is no longer available in the Econometrics Toolbox. One way to recover "preRe...

oltre 8 anni fa | 0

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arima object failed to initialize.
The properties of the ARIMA object can be reset by users. These codes should work. If not, the function might be corrupted. For ...

oltre 8 anni fa | 0

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using"filter" - error message for inputs 'Y0'
The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I ...

oltre 8 anni fa | 0

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How to estimate NAIRU in a state space model of the econometrics toolbox
It seems that the constructed SSM is not exactly the same as the one described in the equations. Usually C and D is a low-dimens...

oltre 8 anni fa | 0

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How to avoid GARCH estimation model to show output in the command window?
Hi Haoqing, To suppress display, we can add a name-value pair 'Display', say EstMdlGARCH_i=estimate(Mdl,r(i:i+843),'Displa...

oltre 8 anni fa | 6

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Seemingly Unrelated Regressions (SUR) with equivalent of the White or Newey-West covariance matrix?
Hi Ilona, Suppose that we have a SUR with n equations and T periods. First, estimate a SUR system using the function VGXVA...

oltre 8 anni fa | 0

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Time Series Forecasting after taking first differences
Hi shackelferd, Time series regression of non-stationary, but not cointegrated, data may suffer from the “spurious regressio...

oltre 8 anni fa | 0

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Is it possible to triangularize the VAR system in order to orthogonalize the innovations?
Hi Richard, I think it depends on the VAR specification. If the triangularized model looks like Y(t) = A1 * Y(t-1) + A...

oltre 8 anni fa | 0

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Creating a block matrix of matrices?
Hello, If the FOR loop is not your choice, you may consider the following: >> A = [1 1]; >> B = [2 2]; >> C = blkdia...

oltre 8 anni fa | 2

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Estimate ARMA(1,1) using estimate: Parameter AR(1) is missing
The problem appears unusual. I tried your codes estimate(arima('ARLag',1,'MALag',1,'Constant',0),y) However, the software...

oltre 8 anni fa | 0

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Detrend timeseries of conditional heteroscedasticiy using GARCH(1,1)
Hi Jannic, To remove the conditional variance from the observations, we may first estimate the model, and then we infer the c...

quasi 9 anni fa | 1

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