I am estimating an ARCH(4), however I need to impose weights on the ARCH components, i.e. the model for the variance:
h_t=c+a*sum_{k=1}^{4} (w_i)*e_(t-i)
And w_i=(5-i)/10 so that the weights are 0.4 , 0.3 , 0.2 and 0.1 respectively. How should I do that in eviews?
Imposing restrictions on ARCH coefficients.
Moderators: EViews Gareth, EViews Moderator
Re: Imposing restrictions on ARCH coefficients.
So is it possible to impose such restrictions in Eviews rahter than doing a likelyhood ratio test or no one knows how?
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