I use STATA to do EGARCH-M model on panel data. id=478, time=1990-2014.
here is my code:
forvalues i=1 (1) 478 {
`arch ut rmrf if id==`i', arch(1) garch(1) archmexp(sqrt(X)) distribution(t)
replace beta=_b[_sigma2] if id==`i'
}
`
the coefficient code doesn't work. and I have no idea how to get significance level, i.e. z-statistic and p-value
finally, it would be wonderful that, STATA can help me to summarize the number of beta with significant positive; significant negative; insignificant positive; insignificant negative.
I am really grateful if someone could help me to figure out this code!
Many thanks!
