Generating multivariate heteroskedastic data

by Zarina Akhtar   Last Updated February 11, 2019 09:19 AM - source

I am trying to estimate a VAR model with heteroskedastic error terms.

$e_{it}$ is given by $η_{i,t} √h_{ii,t}$, where $η_{i,t}$ is iid, N(0,1).

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I am trying to get $e_{it}$

Does anyone have any suggestions about how I might do this?

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