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
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