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- Mon Oct 26, 2009 6:01 am
- Forum: ARCH and GARCH Models
- Topic: M-GARCH in mean model with Tse test
- Replies: 1
- Views: 7439
M-GARCH in mean model with Tse test
I have been using the Tse code (older version updated 08/04 for version 6) and trying to estimate a model with parameters in the mean equation including garch-in-mean for Canadian money and output to test is money or output volatility affects growth. I have a further complication of a nonlinear set ...