Multiplicative Error Model estimation

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azanon
azanon 2016 年 8 月 31 日
回答済み: Alessandra Costa 2018 年 11 月 19 日
Has someone the code for estimating a baseline Multiplicative Error Model (MEM)?
The model is the one introduced by Engle (2002):
The coefficients to be estimated are omega, beta and alfa. The distribution of the error term is a Gamma distribution with mean 1 and variance 1/v where v is time-constant.
Estimation by Maximum Likelihood method.

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回答 (1 件)

Alessandra Costa
Alessandra Costa 2018 年 11 月 19 日
I've the same question. is there a code for MEM estimation?

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