Abstract

Econometric estimation using simulation techniques, such as the efficient method of moments, may be time consuming. The use of ordinary matrix-programming languages such as GAUSS, MATLAB, Ox, or S-PLUS will often cause extra delays. For the efficient method of moments implemented to estimate stochastic volatility models, this will surely be the case; therefore, the author made a C/C++ library containing the bulk of the procedures needed in the implemention of the efficient method of moments technique for a broad range of univariate stochastic volatility models. As a side effect of the efficient method of moments, EGARCH models with a variety of non-normal distributions can be estimated with this package. Implementations have been made for the Intel Pentium platform linked under Windows and for the IBM RS/6000 platform under AIX. The library is dynamically linked to Ox under Windows and statically linked under AIX. The speed improvements are considerable compared with pure Ox code. This paper serves as a manual for this library. It describes the efficient method of moments for this specific case of stochastic volatility models, and it describes the program. Some examples are given from other work of the author. Technicalities are given in the appendices.

Recommended Citation

Pieter J. van der Sluis (1997) "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments ", Studies in Nonlinear Dynamics & Econometrics: Vol. 2: No. 3, Algorithm 1.
http://www.bepress.com/snde/vol2/iss3/algorithm1

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vandersluis_code.zip (184 kB)
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