Hang Qian
Iowa State University
Followers: 0 Following: 0
He is a researcher in time series analysis and Bayesian econometrics. Professional Interests: Bayesian Econometrics
Statistics
RANK
598
of 289,677
REPUTATION
118
CONTRIBUTIONS
0 Questions
50 Answers
ANSWER ACCEPTANCE
0.00%
VOTES RECEIVED
27
RANK
684 of 19,576
REPUTATION
2,609
AVERAGE RATING
4.80
CONTRIBUTIONS
3 Files
DOWNLOADS
135
ALL TIME DOWNLOADS
21650
RANK
of 144,057
CONTRIBUTIONS
0 Problems
0 Solutions
SCORE
0
NUMBER OF BADGES
0
CONTRIBUTIONS
0 Posts
CONTRIBUTIONS
0 Public Channels
AVERAGE RATING
CONTRIBUTIONS
0 Highlights
AVERAGE NO. OF LIKES
10 of your answers have been accepted
Awarded to Hang Qian on 15 Feb 2022
Your submissions were downloaded 100 or more times in a month
Awarded to Hang Qian on 01 Nov 2019
Publish your first review
Awarded to Hang Qian on 09 Oct 2019
Your submissions received 25 five star ratings
Awarded to Hang Qian on 09 Oct 2019
Publish your first submission
Awarded to Hang Qian on 09 Oct 2019
Contribute at least one answer each month for 3 consecutive months
Awarded to Hang Qian on 20 Jul 2017
Answer 10 questions that were unanswered for more than 30 days
Awarded to Hang Qian on 20 Jul 2017
3 of your answers have been accepted
Awarded to Hang Qian on 20 Jul 2017
Provide your first answer ever to someone else's question
Awarded to Hang Qian on 20 Jul 2017
Feeds
Submitted
MIDAS Matlab Toolbox
Repack of Mi(xed) Da(ta) S(ampling) regressions (MIDAS) written by Eric Ghysels and collaborators
3 years ago | 51 downloads |
time series with rolling returns using periodicreturns
Yes, you can use these returns for time series model estimation (arima, arima-garch etc) and forecasting. If the daily return is...
5 years ago | 1
| accepted
Econometrics Toolbox Cross Correlation, how to use?
Hi Mehmet, If your time series is sorted from newest to oldest, the first thing that you may want to do is to revert the orde...
6 years ago | 0
| accepted
(G)ARCH estimation. Input series.
Hi Dmitry, If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like ...
6 years ago | 0
| accepted
How to decide the stationary about time series.
Hi Hong, As the name suggests, ADF is Dickey-Fuller test augmented by lagged regressors. The default value of MATLAB function...
6 years ago | 1
Correct fmincon() constraints for GARCH?
Hi Michael, Typically we add some inequality constraints to ensure a positive conditional variance in the GARCH(1,1) model, l...
6 years ago | 0
Error using garch/validateModel; Non-zero degree P requires a non-zero degree Q.
There is a work-around: *set the optimization algorithm as interior-point so that Q will not be exactly zero.* options = opt...
6 years ago | 0
Handling with an Error caused by using GARCH(1,1) in Matlab
Hi Manuel, The error message “Non-zero degree P requires a non-zero degree Q” basically says that the conditional volatility ...
6 years ago | 0
augmented dickey fuller Matlab
Hi Jan, Yes, ADFTEST without augmentation is the standard Dickey-Fuller test, where Y(t) = c + phi * Y(t-1) + noise, H0...
6 years ago | 2
Matlab arima estimate error
I guess that the lower bound constraints become effective under some model specifications. When the estimated model has a reduce...
6 years ago | 0
VMA(1) estimation
Hi Wei, In many cases, the VMA coefficients cannot be reliably estimated, unless there is a large sample with high quality da...
6 years ago | 0
| accepted
new Garch fit function
Hi Muhamed, The new GARCH fit function is called “estimate”, which uses data to estimate the unknown parameters in the GARCH ...
6 years ago | 0
hac function: pvalues or confidence intervals
Hi Fregior, Yes, the point estimator returned by HAC is the same as the OLS estimator. HAC returns the covariance matrix E...
7 years ago | 0
| accepted
How do I compute bootstrap confidence interval for a VAR impulse response function?
Hi Samuel, To bootstrap the confidence interval, simulate VAR coefficients using the VAR point estimator and its covariance m...
7 years ago | 0
What are the differences in implementation of ARIMA models (estimate and forecast) in R2015b vs R2017a
Hi Jonas, ARIMA model is estimated by maximum likelihood, which requires numeric maximization using the Optimization Toolbox. T...
7 years ago | 0
hac results vary bewteen MATLAB R2015b and MATLAB R2016b
Hi Lucia, Thank you for reporting this edge case. The codes work on my Windows computer both in R2016a and R2016b. The res...
7 years ago | 0
Question about GARCH forecast command
Hello - In GARCH models, the input argument ‘numPeriods’ represents forecast horizon, say the conditional volatility for y(t...
7 years ago | 0
How to subtract two matrices of character type arrays?
You may consider row-wise comparison (possibly in a FOR loop) setxor({'a','b','c','d','e'},{'a','b'}) setxor({'a','b','c',...
7 years ago | 0
| accepted
panel ols with unbalanced data
Hi Alberto, For an unbalanced panel data set, one may consider padding NaNs in the response variables for those cross-section...
7 years ago | 1
| accepted
converting garchsim with simulate or filter
Hello Sandro, GARCHSIM has been retired and is no longer available in the Econometrics Toolbox. One way to recover "preRe...
7 years ago | 0
arima object failed to initialize.
The properties of the ARIMA object can be reset by users. These codes should work. If not, the function might be corrupted. For ...
7 years ago | 0
using"filter" - error message for inputs 'Y0'
The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I ...
7 years ago | 0
How to estimate NAIRU in a state space model of the econometrics toolbox
It seems that the constructed SSM is not exactly the same as the one described in the equations. Usually C and D is a low-dimens...
7 years ago | 0
How to avoid GARCH estimation model to show output in the command window?
Hi Haoqing, To suppress display, we can add a name-value pair 'Display', say EstMdlGARCH_i=estimate(Mdl,r(i:i+843),'Displa...
7 years ago | 5
Seemingly Unrelated Regressions (SUR) with equivalent of the White or Newey-West covariance matrix?
Hi Ilona, Suppose that we have a SUR with n equations and T periods. First, estimate a SUR system using the function VGXVA...
8 years ago | 0
Time Series Forecasting after taking first differences
Hi shackelferd, Time series regression of non-stationary, but not cointegrated, data may suffer from the “spurious regressio...
8 years ago | 0
Is it possible to triangularize the VAR system in order to orthogonalize the innovations?
Hi Richard, I think it depends on the VAR specification. If the triangularized model looks like Y(t) = A1 * Y(t-1) + A...
8 years ago | 0
Creating a block matrix of matrices?
Hello, If the FOR loop is not your choice, you may consider the following: >> A = [1 1]; >> B = [2 2]; >> C = blkdia...
8 years ago | 2
| accepted
Estimate ARMA(1,1) using estimate: Parameter AR(1) is missing
The problem appears unusual. I tried your codes estimate(arima('ARLag',1,'MALag',1,'Constant',0),y) However, the software...
8 years ago | 0
Detrend timeseries of conditional heteroscedasticiy using GARCH(1,1)
Hi Jannic, To remove the conditional variance from the observations, we may first estimate the model, and then we infer the c...
8 years ago | 1
| accepted
You can also select a web site from the following list
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)
Asia Pacific
- Australia (English)
- India (English)
- New Zealand (English)
- 中国
- 日本Japanese (日本語)
- 한국Korean (한국어)