restrtiction for the expected values

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doaa
Posts: 19
Joined: Mon Mar 16, 2009 10:04 am

restrtiction for the expected values

Postby doaa » Mon Apr 06, 2009 9:11 am

hi
I want to put the following restrictions in logl object
E_(t-1) (η_t )=0, E_(t-1) (η_t^2 )=1, E_(t-1) (η_t^3 )=s_t and E_(t-1) (η_t^4 )=k_t. where η_t are the residuals series resulting from an GARCH(1,1) model

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