Search found 2 matches
- Tue Apr 15, 2014 6:47 am
- Forum: Estimation
- Topic: Imposing restrictions on ARCH coefficients.
- Replies: 1
- Views: 2163
Re: Imposing restrictions on ARCH coefficients.
So is it possible to impose such restrictions in Eviews rahter than doing a likelyhood ratio test or no one knows how?
- Thu Apr 10, 2014 5:19 am
- Forum: Estimation
- Topic: Imposing restrictions on ARCH coefficients.
- Replies: 1
- Views: 2163
Imposing restrictions on ARCH coefficients.
I am estimating an ARCH(4), however I need to impose weights on the ARCH components, i.e. the model for the variance:
h_t=c+a*sum_{k=1}^{4} (w_i)*e_(t-i)
And w_i=(5-i)/10 so that the weights are 0.4 , 0.3 , 0.2 and 0.1 respectively. How should I do that in eviews?
h_t=c+a*sum_{k=1}^{4} (w_i)*e_(t-i)
And w_i=(5-i)/10 so that the weights are 0.4 , 0.3 , 0.2 and 0.1 respectively. How should I do that in eviews?