rugarch package
The only way to achieve this is to set the coefficients of lags 2 and 3 to zero using the 'fixed.pars' option, i.e. ugarchspec(mean.model = list(armaOrder=c(4,0)), fixed.pars=list(ar2=0,ar3=0)). Fixed parameters are excluded during the calculation of standard errors unless you specify otherwise in the ugarchfit 'fit.control' option. In future please observe some measure of mail etiquette by signing your email with your name. Regards, Alexios
On 11/02/12 08:21, ecsniffer?? wrote:
In mean.model of ugarchspec function, if I set armaOrder=c(4,0), it will include all of the 4 lags in the AR model. My question is whether I can just include the first lag and the fourth lag? that is, Is it O.K. for me to spefify the given lag terms? [[alternative HTML version deleted]]
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