Multiplicative Error Model estimation
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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.
Réponses (1)
Alessandra Costa
le 19 Nov 2018
0 votes
I've the same question. is there a code for MEM estimation?
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