SVAR with GARCH Errors

Discussions of ARCH, GARCH, and related models
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terrya
Posts: 41
Joined: Mon Aug 24, 2009 6:05 pm

SVAR with GARCH Errors

Unread post by terrya »

In 2006, Cover and Hueng published a working paper that combined an SVAR with bivariate GARCH(1,1) errors in order to study the price-output correlation over time. Is it possible to replicate this approach using the RATS garch instruction? If I've understood the things properly, the model option requires defined linear equations.
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: SVAR with GARCH Errors

Unread post by TomDoan »

Do you have a link to that? The one on REPEC is broken.
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terrya
Posts: 41
Joined: Mon Aug 24, 2009 6:05 pm

Re: SVAR with GARCH Errors

Unread post by terrya »

http://homepages.wmich.edu/~chueng/garch.pdf
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terrya
Posts: 41
Joined: Mon Aug 24, 2009 6:05 pm

Re: SVAR with GARCH Errors

Unread post by terrya »

This is another version.
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CoverHueng2006.pdf
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