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Hey there, I am currently studying the causal relationship between nominal and real uncertainty of inflation and output growth, with extra exogenous variables. To do so, I estimated a VAR-TGARCH model (I previously tested the asymmetry with Engle-NG procedure). I estimated the appropriate VAR which ...

it was outdated!

THANKS A MILLION!!!

I'm currently using EVIEWS 8 and I replaced your codes. The result is always the same "contemporaneous variables not allowed on right side of equation".

Do you think that doing a garch-bekk on residuals is an equivalent way of estimating the model?

Thank you so much.

unfortunately seems that is not possible. Step by step, I do: 1) a VAR system with inflation and output growth as endogenous variables, with p lags. Estimation Proc: =============================== LS 1 2 INF Y @ C VAR Model: =============================== INF = C(1,1)*INF(-1) + C(1,2)*INF(-2) + C(...

Hi everybody, I'm currently working on my thesis and I should estimate the correlation between inflation growth and output growth. I have the dlog(gdp) and dlog(cpi) as time series from 1980 to 2012. I have EVIEWS 6. I would like to ask if there is a way to build a VAR(p)-GARCH(p*,q) model on EVIEWS...