Effacer les filtres
Effacer les filtres

Error when estimating a VAR on log data (infinite values) in Matlab

2 vues (au cours des 30 derniers jours)
Carl Kier
Carl Kier le 23 Mai 2022
When trying to use the estimate command (https://se.mathworks.com/help/econ/varm.estimate.html) to estimate a VAR using log data. This error does not occur when i use this command on data that has not been log transformed. The specific error message i get is the following:
Error using statcheckmvnr (line 65)
One or more infinite values found in Y.
Error in mvregress (line 251)
statcheckmvnr(Data, Design, Param0, Covar0, isequal(EstMethod,3));
Error in varm/estimate (line 429)
sigma(solve,solve), logL] = mvregress(D, R, 'covtype' , 'full' , 'varformat',
'beta' , ...
Can anyone help me understand why this is happening or how to solve it? I don't see why taking logs to a dataset should result in this. The specific code that results in this is the following (not that there is much to it, as i'm simply estimating a var on a section of a dataset):
EstMdl_e = estimate(var,zest_e);

Réponse acceptée

Carl Kier
Carl Kier le 23 Mai 2022
I figured out that i needed to add 1 to my dataset (which consisted of growth rates) to avoid taking logs to negative numbers.

Plus de réponses (0)

Catégories

En savoir plus sur Multivariate Models dans Help Center et File Exchange

Produits

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by