The RATS Software Forum

Dear Tom,
I have estimated a Triangular BEKK model and I used the following restrictions to estimate the mean equation of the model.

dec symm[series] hhs(4,4)
clear(zeros) hhs
equation dlgsecieq dlgseci
#constant hhs(1,1)
equation dlexreq dlexr
#constant hhs(2,1) hhs(2,2)
equation dlsp500eq dlsp500
#constant hhs(3,1) hhs(3,2) hhs(3,3)
equation dlcopeq dlcop
#constant hhs(4,1) hhs(4,2) hhs(4,3) hhs(4,4)
group garchm dlgsecieq dlexreq dlsp500eq dlcopeq

I am considering adding lags to the this model but am not sure how this is done in the RATS program in a restricted model like this. I wanted to ask if there is a way to do this.
Thank you

If you're talking about lags of the covariances, just something like

equation dlgsecieq dlgseci
#constant hhs(1,1){0 1}

The hhs(i,j) are series and you can append lag fields to them.