Imposing restrictions on ARCH coefficients.
Posted: Thu Apr 10, 2014 5:19 am
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?
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?