Programming ARCH-structures
Posted: 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
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