Estimate equations simultaneously with Maximum Likelihood methods

[Job Jansen]

Hi all,

I am trying to replicate a methodology used by an academic paper where they estimate 3 equations simultaneously with maximum likelihood methods.
They use the equations below. I do understand the equations separately completely, but I don't understand how one should actually do them simultaneously in Stata.


To get in more detail, this is how they describe the functions.

Thanks for all possible tips!
Job

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Also, instead of posting a picture, you are better off telling us what we need to know.

I don't fully understand what they are doing. I don't see where h appears in equations 1 to 2, but I don't do garch estimates. It looks like you could substitute equation 2 into one and then estimate using one of the garch estimators available in the time series portion of Stata. Alternatively, you could do it in SEM.

[Eman Oj]

Hi Job, I'm trying to do the same thing! Did you solve this problem?