Hi Toam,
The RATS program offers any example to estimate Generalized Impulse Reponse (GIRF) or VIRF in a Var-Garch-M model with bekk representation?
Which one of this could I estimate?
Search found 4 matches
- Tue Sep 22, 2020 5:42 pm
- Forum: ARCH and GARCH Models
- Topic: VAR-GARCH-M GIRF
- Replies: 1
- Views: 6170
- Tue Sep 22, 2020 5:36 pm
- Forum: ARCH and GARCH Models
- Topic: GARCH w/ dummy variance
- Replies: 0
- Views: 5520
GARCH w/ dummy variance
Hi Toam, I wish to incorporate a dummy variable in my variance model. I'm estimating a VAR-GARCH-M with bekk representation. Should I use "set" option to define the dummy variable and then "xreg" option to put it into my model? If your anwers is YES. Could you please tell me how ...
- Thu Sep 17, 2020 10:27 pm
- Forum: ARCH and GARCH Models
- Topic: VAR-GARCH-M square
- Replies: 2
- Views: 5825
Re: VAR-GARCH-M square
Yes, I'm using log GDP. the @varlagselect procedure suggest me 12 lags. Also, I tested for serial correlation and arch effects.
- Tue Sep 15, 2020 6:46 pm
- Forum: ARCH and GARCH Models
- Topic: VAR-GARCH-M square
- Replies: 2
- Views: 5825
VAR-GARCH-M square
Hi, I ran the model VAR-GARCH MODEL: @varlagselect(crit=sbc,lags=13) # inf gdp system(model=vargarchm) variables gdp inf lags 1 to 12 det constant sqrth(1) sqrth(2) end(system) dec vect[series] sqrth(2) I attach the output. clear(zeros) sqrth garch(model=vargarchm,p=1,q=1,mv=bekk,hmatrices=hh,$ hadj...