Search found 2 matches
- Mon Jul 07, 2014 6:44 am
- Forum: VARs (Vector Autoregression Models)
- Topic: VAR, Granger Causality and ARCH effects
- Replies: 3
- Views: 5972
Re: VAR, Granger Causality and ARCH effects
Dear Tom, I would like to test the Granger Causality among inflation, output growth and nominal and real uncertainty. Is that true that I cannot do the causality test based on BEKK model since the BEKK model restricts the effects of uncertainties to being positive? What if I run the causality test b...
- Wed Jun 18, 2014 4:04 am
- Forum: Looking for Code?
- Topic: Bootstrapping a GARCH in mean model
- Replies: 8
- Views: 15676
Re: Bootstrapping a GARCH in mean model
Hallo Tom, I just ran the replication file GHOS.RPF. Nevertheless the result shows that there is no convergence. Then I tired different values of piters but still the model did not seem to be converged. Since I want to use this literature as the benchmark of my master thesis, I want to figure out wh...