Hello everyone,

I wanted to run a mean equation using OLS with robust s.e.,, like below:

reg ir L.ir L.gr L.dummy, vce(robust)
predict ir_ols_res,res

where ir is irish 10-year yield, gr is the greek one and a dummy variable.
Then, I want to run EGARCH with the residuals from the above regression. So, I figured that I can just use the residuals from the above without constant as below:

arch ir_ols_res, noconstant earch(1/1) egarch(1/1)

Does that make sense, is it correct?

Thank you,