Search found 3 matches
- Mon Jan 28, 2013 10:09 am
- Forum: Estimation
- Topic: The estimation output of DVEC model
- Replies: 2
- Views: 2654
Re: The estimation output of DVEC model
Thank you very much. I also just figure it out when I read the Engle and Kroner (1995). the Those parameters do not correspond to the off-diagonal elements of the unrestricted system matrices. In the estimation process, calculations are carried out with Hadamard (element-by-element) product. Hence, ...
- Sun Jan 27, 2013 7:38 pm
- Forum: Estimation
- Topic: The estimation output of DVEC model
- Replies: 2
- Views: 2654
The estimation output of DVEC model
Hi,
The diagonal vec garch model should be resitriced A and G matrix (the parameter of ARCH and GARCH effect) to be diagonal, why EViews estimation output also report the off-diagonal elements?
Thanks
The diagonal vec garch model should be resitriced A and G matrix (the parameter of ARCH and GARCH effect) to be diagonal, why EViews estimation output also report the off-diagonal elements?
Thanks
- Wed Jan 16, 2013 4:03 pm
- Forum: Estimation
- Topic: General BEKK model
- Replies: 0
- Views: 1347
General BEKK model
Hi,
I need to use the general BEKK model, but as I know, EViews can only esitimate the diagonal BEKK model, does anyone know it is possible to use EViews to esitimate the general BEKK model (including the off-diagonal elements)? Thank you very much.
I need to use the general BEKK model, but as I know, EViews can only esitimate the diagonal BEKK model, does anyone know it is possible to use EViews to esitimate the general BEKK model (including the off-diagonal elements)? Thank you very much.