This might be one of those situations in which you should say what what
you are trying to do rather than how you are trying to do it. It is my
understanding that estimates of b are asymptotically well behaved in
this situation, at least for b<1. If, however, you are trying to get
CI's for b in finite samples conditioned upon the errors being generated
by a GARCH process then this is a different issue.
HTH
Phineas
>>> Tobias Muhlhofer <[EMAIL PROTECTED]> 05/19/05 9:56 PM >>>
Is it possible to simultaneously estimate mean and GARCH parameters in
R?
In other words, I would like to estimate the normal regression equation
Y = b X + u
and simultaneously do a garch process on the u's to correct the standard
errors.
I was thinking maybe something with systemfit(), but I can't quite come
up with it.
Thanks,
Tobias
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