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Post by victorgrant on Mar 12, 2018 6:54:20 GMT
Hi, I would like to estimate a GARCH BEKK without exogenous regressors and use those coefficient estimates as input for another GARCH BEKK estimation with exogenous regressors. I saw that there's an option 'initial', but I am struggling with the way to input previously estimated coefficients. I used %BETA, but the size of that vector is concerning me. It includes the estimates of the VAR(1) model coefficients I've estimated as mean model and the BEKK coefficients, but I would like to use the values in another model via 'initial' where I include dummies in the VAR(1) and external regressors in the GARCH BEKK. I think I would need to adjust the %BETA vector to include extra zeros in order to compute a vector of the same size of the new model I intend to estimate. How would I be able to do that? Please help. I didn't find the right solution from the Internet. References: estima.com/forum/viewtopic.php?f=13&t=28952D animation video pricingThanks
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