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Re: st: identification through heteroskedasticity
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: identification through heteroskedasticity
Date
Wed, 2 Nov 2011 14:04:23 -0400
Joaquin Canessa <[email protected]>:
Looking at equation 11 on page 10 in http://www.nber.org/papers/w8350.pdf
it looks like a job for -gmm-.
On Tue, Nov 1, 2011 at 11:08 AM, Joaquin Canessa
<[email protected]> wrote:
> Hi. I´m doing a work in wich I have to replicate the paper of Rigibon
> "Measuring the Reaction of Monetary Policy to the Stock Market" . I
> need to know if any of you have the ADO file that allow me to run the
> regression through this method.
> If you don´t know the method of this paper, I have to use the method
> called "identification through heteroskedasticity".
>
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