SVAR with GARCH Errors
Posted: Tue Oct 30, 2012 4:57 pm
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.