Hello,
How to incorporate AR(1) in multivariant GARCH estimations?
I input "AR(1)" in Common coefficients of Regressor and AR() terms under Make System window, the code becomes
-------------------------------------
@STACKINST
@INST
DLN_CNH = C(1) + [AR(1)=C(2)]
DLN_CNY = C(3) + [AR(1)=C(2)]
--------------------------------------
which means I will have same coeff("C(2)") for AR(1) term of the two equation.
I try to revise the code below, but shows "AR is not defined in "DLN_CNH = C(1) + C(3)*AR(1)"
---------------------------------------
@STACKINST
@INST
DLN_CNH = C(1) + C(3)*AR(1)
DLN_CNY = C(2) + C(4)*AR(1)
--------------------------------------
Can anyone help on this ? many thanks ~
AR term in multivariant GARCH model
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: AR term in multivariant GARCH model
Bit confused. Do you want the AR terms to have the same coefficient? If not, why did you enter it as a "Common coefficient"?
But, if you don't want them to have the same coefficient, change the coefficient in the specification from C(2) to something else.
But, if you don't want them to have the same coefficient, change the coefficient in the specification from C(2) to something else.
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Re: AR term in multivariant GARCH model
Hello ~ I revised the code below and re-run, and it works! though freq shut-down maybe due to Microsoft issues. My head must be swimming... thanks for the reply again.
_____________________________________
@STACKINST
@INST
DLN_CNH = C(1) + [AR(1)=C(2)]
DLN_CNY = C(3) + [AR(1)=C(4)]
_____________________________________
_____________________________________
@STACKINST
@INST
DLN_CNH = C(1) + [AR(1)=C(2)]
DLN_CNY = C(3) + [AR(1)=C(4)]
_____________________________________
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