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- Tue Sep 03, 2019 1:32 pm
- Forum: State Space Models/DSGE
- Topic: Dynamic factor model with GARCH effects & correlated errors
- Replies: 0
- Views: 16280
Dynamic factor model with GARCH effects & correlated errors
Hi, I am trying to estimate a dynamic factor model which allows for correlation between one of the observation error and the latent factor's error (as in Aruoba et al. (2016)'s GDPplus). I have 2 observable variables( price and retailP) and specified my basic model as: y_t = μ + x_t + e_t x_t=x_(t-1...