Kalman filter with GARCH errors

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joff
Posts: 6
Joined: Thu Jan 04, 2018 4:20 am

Kalman filter with GARCH errors

Postby joff » Sat Sep 15, 2018 5:46 am

Dear all,

I would like to ask about your opinion regarding the estimation of TVP model in Eview when the conditional variance of error term is time-varying. One way to go would be to use a Kalman filter with GARCH errors as in:

https://www.jstor.org/stable/1392543?se ... b_contents

However this procedure is not avaliable in Eviews (at least not without coding it yourself). Would you be willing to rely only Huber-White correction in this case? Or you think that a better approach would be to use an iterative procedure specified in this post:

viewtopic.php?t=7110

Looking forward to your comments.

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