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- Thu Dec 06, 2012 3:07 pm
- Forum: Looking for Code?
- Topic: Engle et al 2008 Multiplicative Error Model
- Replies: 1
- Views: 4937
Re: Engle et al 2008 Multiplicative Error Model
You can use a standard GARCH routine making sqrt(variable) the dependent variable with a zero mean equation. Put lagged observables in the list of predetermined variables of the variance equation. See Engle and Gallo (2006; journal of econometrics) for details on this equation by equation method. Se...