How to estimate VAR model using the maximum likelihood function knowing that the residuals follow a student-t distribution? i need your help please
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- Tue Dec 20, 2022 7:08 am
- Forum: Estimation
- Topic: Non gaussian VAR estimation with Maximum Likelihood
- Replies: 0
- Views: 6545
Non gaussian VAR estimation with Maximum Likelihood
Hi ,
How to estimate VAR model using the maximum likelihood function knowing that the residuals follow a student-t distribution? i need your help please
How to estimate VAR model using the maximum likelihood function knowing that the residuals follow a student-t distribution? i need your help please