Search found 2 matches
- Thu Oct 24, 2019 3:55 am
- Forum: Estimation
- Topic: Estimating state space model for GARCH(1,1)
- Replies: 18
- Views: 119846
Re: Estimating state space model for GARCH(1,1)
I am trying to generate inflation uncertainty series from inflation series using a stochastic volatility model. I tried using the code you gave below and it generated the sv series along with the estimated model. However, I dont know how to interprete the model. I saw C1, C2, C3, C4 each with coeffi...
- Mon Oct 14, 2019 8:53 am
- Forum: Estimation
- Topic: Nonlinear Granger Causality Test in VAR
- Replies: 0
- Views: 7551
Nonlinear Granger Causality Test in VAR
Please I need help on how to estimate a nonlinear granger causality test in VAR, either in eviews or STATA.