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Re: st: identification through heteroskedasticity

From   Austin Nichols <>
Subject   Re: st: identification through heteroskedasticity
Date   Wed, 2 Nov 2011 14:04:23 -0400

Joaquin Canessa <>:
Looking at equation 11 on page 10 in
it looks like a job for -gmm-.

On Tue, Nov 1, 2011 at 11:08 AM, Joaquin Canessa
<> wrote:
> Hi. I´m doing a work in wich I have to replicate the paper of Rigibon
> "Measuring the Reaction of Monetary Policy to the Stock Market"  . I
> need to know if any of you have the ADO file that allow me to run the
> regression through this method.
> If you don´t know the method of this paper, I have to use the method
> called "identification through heteroskedasticity".

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