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

Le Quyen Thieu

MPRA Paper from University Library of Munich, Germany

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.

Keywords: BEKK-X; Equation by equation estimation; exogenous variables; covariates; semi-diagonal BEKK-X (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Date: 2016-09-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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