SVAR with GARCH Errors
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SVAR with GARCH Errors
by terrya » Tue Oct 30, 2012 4:57 pm
In 2006, Cover and Hueng published a working paper that combined an SVAR with bivariate GARCH(1,1) errors in order to study the price-output correlation over time. Is it possible to replicate this approach using the RATS garch instruction? If I've understood the things properly, the model option requires defined linear equations.
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Re: SVAR with GARCH Errors
by TomDoan » Thu Nov 01, 2012 11:11 am
Do you have a link to that? The one on REPEC is broken.
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Re: SVAR with GARCH Errors
by terrya » Thu Nov 01, 2012 2:40 pm
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Re: SVAR with GARCH Errors
by terrya » Thu Nov 01, 2012 2:44 pm
This is another version.
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CoverHueng2006.pdf- (210.01 KiB) Downloaded 47 times
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