Estimating a model with timevarying parameter
Posted: Thu Aug 27, 2015 2:20 am
Hello all,
I am quite new to eviews and recently learned how to estimate a regression model where the conditional variance is a GARCH model.
However, now I have to estimate the following model:
y = a + b(t) * x1 + e
b(t) = c + d * x2
h(t) follows a GARCH(1,1) model
The problem is the second equation, I have no idea how to implement this in eviews. The model should be estimated by ML.
Sorry if this is a simple matter, but I am relatively new to eviews and cant find the answer on the forum here.
Any help is welcome, thanks in advance!
I am quite new to eviews and recently learned how to estimate a regression model where the conditional variance is a GARCH model.
However, now I have to estimate the following model:
y = a + b(t) * x1 + e
b(t) = c + d * x2
h(t) follows a GARCH(1,1) model
The problem is the second equation, I have no idea how to implement this in eviews. The model should be estimated by ML.
Sorry if this is a simple matter, but I am relatively new to eviews and cant find the answer on the forum here.
Any help is welcome, thanks in advance!