Equation by equation estimation of the semi-diagonal BEKK model with covariates

Thieu, Le Quyen (2016): Equation by equation estimation of the semi-diagonal BEKK model with covariates.

Abstract

This paper provide the asymptotic normality of the Equation by Equation estimator for the semi-diagonal BEKK models augmented by the exogenous variables. The results are obtained without assuming that the innovations are independent, which allows investigate different additional explanatory variables into the information set.

• Item Type: MPRA Paper
• Language: English
• Keywords: BEKK-X, Equation by equation estimation, exogenous variables, covariates, semi-diagonal BEKK-X
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General

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