# Generating multivariate heteroskedastic data

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

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).

I am trying to get $$e_{it}$$

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

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