Programming ARCH-structures

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Caserz
Posts: 4
Joined: Sun Apr 17, 2011 11:06 am

Programming ARCH-structures

Postby Caserz » Sun Apr 17, 2011 12:01 pm

Hey there,

For my thesis I'm researching the effect of ARCH-structures in the error term on the rule of thumb of 10 for the first-stage F statistic.
However, I'm stuck at the part in where I need to incorporate ARCH-structures in my Monte Carlo simulation. The Eviews-guide only discusses the command 'arch' (the estimation itself), which I'm not looking for.
Could anyone give me some advice regarding the programming of ARCH-processes for the error terms?
May it be possible to do it recursively?

Many thanks in advance!
Greetings,
Casper

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