Dear Tom Doan,
How do I estimate the error-correction model presented in the equation (20 ') by Enders and Siklos (2001)?
Thanks in advance
Search found 2 matches
- Mon Apr 08, 2019 6:54 pm
- Forum: Examples and Sample Code
- Topic: Enders-Siklos JBES 2001
- Replies: 2
- Views: 9424
- Tue Mar 19, 2019 10:50 am
- Forum: VARs (Vector Autoregression Models)
- Topic: MS-SVAR
- Replies: 5
- Views: 11273
Re: MS-SVAR
Dear Tom, Can you help me with the code to get the results of the model Markov switching (identified) structural GARCH‐in‐Mean VAR proposed by Apostolos Serletis and Libo Xu (2019). Markov Switching Oil Price Uncertainty. Oxford Bulletin of Economics and Statistics, https://doi.org/10.1111/obes.1230...