Hi,
Does anyone have a program for a structural break test (preferably CUSUM or LM-based) for ARCH/GARCH?
Thank you!
Search found 2 matches
- Tue Aug 09, 2011 8:10 am
- Forum: Programming
- Topic: Structural break test for GARCH?
- Replies: 0
- Views: 1403
- Mon Aug 08, 2011 9:52 pm
- Forum: Estimation
- Topic: Structural break tests in ARCH/GARCH
- Replies: 1
- Views: 2043
Structural break tests in ARCH/GARCH
Hi,
Is it possible to do a structural break test for an ARCH/GARCH model in eViews?
Thank you!
Is it possible to do a structural break test for an ARCH/GARCH model in eViews?
Thank you!