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Triangular Model

Posted: Sat Mar 06, 2010 3:06 am
by Lynn
Good morning,

I have to estimate the bivariate triangular model that I attached as jpg.

Actually I don't have any idea how to start to estimate this in EViews.

I'm very thankful for any kind of help.

Re: Triangular Model

Posted: Sun Mar 07, 2010 4:16 am
by Lynn
Do I have to estimate

u(ft)=f(t)-s(t)-µ

and

u(st)=Δs(t)

and then estimate a VAR for u(ft) and u(st)?