I need to estimate the following equation:
Rt=B0t+sum(BitRt-i)+dHt+et
ht=a0+a1*ht-1+a2*e^2t-1 GARCH(1,1)
Bit=Bit-1+vit
I think it is a Kalman filter with the GARCH-M model. How can I do it using Stata?
Best regards
--
__________________________________________________________
Sign-up for your own FREE Personalized E-mail at Mail.com
http://www.mail.com/?sr=signup
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
