Time Varying VAR with Errors Hetero and Exogenous Variables
Posted: Tue May 28, 2013 10:17 am
Hi,
I hope this finds you fine,
I would like to implement a TVP-VAR with Heteroskedastic errors, like that of Primiceri (2005). However, I would like to introduce some exogenous variables. Is there a code that handles this kind of models? Or could you kindly guide me how to modify an existing code to implement the model.
Thank you in advance,
Ahmed Sahloul
I hope this finds you fine,
I would like to implement a TVP-VAR with Heteroskedastic errors, like that of Primiceri (2005). However, I would like to introduce some exogenous variables. Is there a code that handles this kind of models? Or could you kindly guide me how to modify an existing code to implement the model.
Thank you in advance,
Ahmed Sahloul