Perform the sign-bias test (Engle and Ng, 1993) of misspecification in equations estimated using GARCH.
Syntax
eq_name.signbias(options)
Options
p | Print output from the test. |
Examples
equation eq1.arch(2, 1) y c
estimates a GARCH(2, 1) model.
eq1.signbias
displays the results of a sign-bias misspecification test.
Cross-references
See
“ARCH and GARCH Estimation” for a discussion of ARCH models.