Why does gctest fail when using discontinuous lags?

16 vues (au cours des 30 derniers jours)
Mark Goldsworthy
Mark Goldsworthy le 27 Juin 2019
I'm running a Granger-causality test on a varm model object. The gctest function returns an indexing error when the lags are discontinuous. For example it works when lags = 1,2,3,4. It fails when lags = 1,2,4. Below code recreates the error.
%Following Matlab gctest example
load Data_USEconModel
m1slrate = price2ret(DataTable.M1SL);
inflation = price2ret(DataTable.CPIAUCSL);
rgdprate = price2ret(DataTable.GDP./DataTable.GDPDEF);
tbl = table(m1slrate,inflation,rgdprate);
tbl = rmmissing(tbl);
T = size(tbl,1); % Total sample size
numseries = 3;
% Partition time base.
maxp = 4; % Maximum number of required presample responses
idxpre = 1:maxp;
idxest = (maxp + 1):T;
% Fit VAR models to data.
Y0 = tbl{idxpre,:}; % Presample
Y = tbl{idxest,:}; % Estimation sample
%Two different models. Second model omits lag number 3
lags1=[1:4];
lags2=[1,2,4];
coef0=nan(numseries,numseries);
numlags1=length(lags1);
numlags2=length(lags2);
for i=1:length(lags1)
coef_1{i}=coef0;
end
for i=1:length(lags2)
coef_2{i}=coef0;
end
Mdl_1 = varm('AR',coef_1,'Lags',lags1);
EstMdl_1 = estimate(Mdl_1,Y,'Y0',Y0);
gctest(EstMdl_1)
Mdl_2 = varm('AR',coef_2,'Lags',lags2);
EstMdl_2 = estimate(Mdl_2,Y,'Y0',Y0);
gctest(EstMdl_2) %gctest fails for the second model

Réponses (0)

Catégories

En savoir plus sur Vector Autoregression Models dans Help Center et File Exchange

Produits


Version

R2019a

Community Treasure Hunt

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

Start Hunting!

Translated by