Hi! I want to estimate the model of Baur and McDermott (2010) (Is gold a safe haven? International evidence, https://papers.ssrn.com/sol3/papers....act_id=1516838) with maximum likelihood in stata. Does anyone know how this works? I can only estimate the GARCH(1,1) equation with maximum likelihood, but I can't figure out how to estimate the whole model jointly with maximum likelihood.
This is the model, I already generated the dummy variables in the second equation. The third equation is a garch(1,1) model.
Would someone please be able to help me? Thanks in advance!!
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This is the model, I already generated the dummy variables in the second equation. The third equation is a garch(1,1) model.
Would someone please be able to help me? Thanks in advance!!
