Translation R code to Matlab

Hi, I am trying to translate an R code into Matlab, and with this piece of code i get different result and I don't understand the problem! This is the Matlab code

t=size(Y,1);
space=200;
nlag=4
CV=NaN(k,k,(t-space));
for i=1:size(CV,3)
    var=varm(4,4);
    var1=estimate(var,Y(i:(space+i-1),:));
    if var1.Description~="AR-Stationary 4-Dimensional VAR(4) Model" & i>1
        CV(:,:,i)=CV(:,:,(i-1));
    else 
        D = normalize(armafevd(var1.AR,[],"Method","generalized","NumObs",10,'InnovCov',EstMdl.Covariance),2, 'norm', 1);
        CV(:,:,i)= D(10,:,:);
    end
end

and this is the R code

t = nrow(Y)
space = 200 # 200 days rolling window estimation
CV = array(NA, c(k, k, (t-space)))
colnames(CV) = rownames(CV) = colnames(Y)
for (i in 1:dim(CV)[3]) {
   var1 = VAR(Y[i:(space+i-1),], p=nlag, type="const")
   if(any(roots(var1)>1) & i>1){ # controls if the VAR process is stationary
      CV[,,i] = CV[,,(i-1)]
   } else {
      CV[,,i] = gfevd(var1, n.ahead=nfore)$fevd
   }

The VAR estimated coefficients are equal but the when it does the variance decomposition the results are different. So I guess it is a problem of how I do the loop. Can anyone spot the mistake? thanks!!

Answer 1

[Hans Scharler]

I don't have a direct answer, but you could use a COM-based interface to call your R function from within MATLAB. There is a project on File Exchange that might help if you are usign Windows.