question on BEKK estimation with common coefficient

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xiaozy1983
Posts: 1
Joined: Wed Dec 07, 2011 4:38 pm

question on BEKK estimation with common coefficient

Postby xiaozy1983 » Wed Dec 07, 2011 4:54 pm

Thank you for considering.
I have a question on how to use Eviews 7 to do BEEK model
I worked in this way, but I do not know whether it is correct.

Goal model : y(i)=alpha(i)+ beta1*x(i)+beta2*z(i)
I would like to find the common beta1 and beta for different groups of data
y1=alpha1+beta1*x1+beta2*z1
y2=alpha2+beta1*x2+beta2*z2

For this purpose, I program in the "Equation system"
y1=c(1)+c(2)*x1+c(3)*z1
y2=c(4)+c(2)*x2+c(3)*z2;

Then select
Estimation method: "ARCH-conditional Conditional Heteroskedasticity"
Coefficient: "GARCH(1,1)"
Model type : diagonal BEEK
Then run. Get the result.
I get the result, but I am not sure it is the correct for y(i) to share the same coefficient beta1 and beta2.
I do appreciate any one could offer help.

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