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Can SHAZAM do GMM estimation?

asked 2011-05-12 07:18:41 +0000

RZhou gravatar image

Can SHAZAM do GMM with Tukey weights and variable lag length?

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answered 2011-05-12 08:50:06 +0000

updated 2011-05-12 10:12:11 +0000

Yes, GMM can be performed with the the NL command where you can either specify a weighting matrix of your own design or select from a range of designs including Bartlett, Parzen, Tukey, Quadratic Spectral and others.

See the NL chapter of the SHAZAM Reference Manual or the Quick Reference here:

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thank you for your answer

RZhou gravatar imageRZhou ( 2011-05-12 10:14:37 +0000 )edit
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Asked: 2011-05-12 07:18:41 +0000

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Last updated: May 12 '11