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SVAR with GARCH errors
Posted: Wed Jun 04, 2014 3:26 pm
by terrya
Can the system object be used to estimate a structural VAR with GARCH errors?
Re: SVAR with GARCH errors
Posted: Thu Jun 05, 2014 2:02 am
by trubador
Re: SVAR with GARCH errors
Posted: Thu Jun 05, 2014 2:08 am
by terrya
Thanks. I must have missed this.
Re: SVAR with GARCH errors
Posted: Thu Jun 05, 2014 2:31 am
by terrya
Hi
I've looked again at the link and I can't see how the VAR is a structural VAR. It looks like an ordinary VAR to me, which, of course, I've always known how to estimate. Have I missed something about the VAR part that makes it an SVAR?
Re: SVAR with GARCH errors
Posted: Thu Jun 05, 2014 6:15 am
by trubador
You can define the contemporaneous relationships in the VAR part. Or you can prefer two-step estimation...