BEKK with Dummy
Posted: Mon Apr 16, 2012 4:37 am
Hello,
I would like to estimate a bivariate BEKK-model with an included dummy variable (D) in order to model shift contagion from market 2 to market 1 (see the model in the attachment). I am only little familiar with programming in Rats, but I have read the code of the exchange rate example that uses MAXIMIZE and is described on the forum (Topic: “Variations on BEKK”). Could you give me some help how to change the code and how to include the terms a21d*D and b21d*D?
Any help would be appreciated!
Best regards,
Niko
I would like to estimate a bivariate BEKK-model with an included dummy variable (D) in order to model shift contagion from market 2 to market 1 (see the model in the attachment). I am only little familiar with programming in Rats, but I have read the code of the exchange rate example that uses MAXIMIZE and is described on the forum (Topic: “Variations on BEKK”). Could you give me some help how to change the code and how to include the terms a21d*D and b21d*D?
Any help would be appreciated!
Best regards,
Niko