SVAR with GARCH Errors
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terrya
- Posts: 41
- Joined: Mon Aug 24, 2009 6:05 pm
SVAR with GARCH Errors
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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TomDoan
- Posts: 7826
- Joined: Wed Nov 01, 2006 4:36 pm
Re: SVAR with GARCH Errors
Do you have a link to that? The one on REPEC is broken.
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terrya
- Posts: 41
- Joined: Mon Aug 24, 2009 6:05 pm
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terrya
- Posts: 41
- Joined: Mon Aug 24, 2009 6:05 pm
Re: SVAR with GARCH Errors
This is another version.
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- CoverHueng2006.pdf
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