Compute dynamic conditional correlations of residuals
Posted: Wed Apr 15, 2015 6:49 am
Dear all
I searched a while for the issue but most of results are related to GARCH model.
I ran a GMM model and got two series of residuals. I wonder whether it is possible to compute dynamic conditional correlations by giving my saved two sets of residuals in Eviews.
Thanks for your help.
Misscats
I searched a while for the issue but most of results are related to GARCH model.
I ran a GMM model and got two series of residuals. I wonder whether it is possible to compute dynamic conditional correlations by giving my saved two sets of residuals in Eviews.
Thanks for your help.
Misscats