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The non-seasonal moving average polynomial is non-invertible
Hi Roberto, The error message “the non-seasonal autoregressive polynomial is unstable” indicates that some of the eigenvalues...
The non-seasonal moving average polynomial is non-invertible
Hi Roberto, The error message “the non-seasonal autoregressive polynomial is unstable” indicates that some of the eigenvalues...
plus de 8 ans il y a | 6
A répondu
var2vec standard errors
Hi Folmer, When we convert a VAR to VEC, using VEC = var2vec(VAR), we assume that the VAR coefficients are known, so that the...
var2vec standard errors
Hi Folmer, When we convert a VAR to VEC, using VEC = var2vec(VAR), we assume that the VAR coefficients are known, so that the...
plus de 8 ans il y a | 0
A répondu
How to impose restrictions on a parameter matrix
Hi Imner, Eigenvalue restrictions are nonlinear constraints imposed on the least square estimators. To estimate parameters, w...
How to impose restrictions on a parameter matrix
Hi Imner, Eigenvalue restrictions are nonlinear constraints imposed on the least square estimators. To estimate parameters, w...
plus de 8 ans il y a | 0
A répondu
what does 'bounds' signify in the autocorr function
Hi aboltabol, If we put autocorr(y), it will assume the true process is a white noise, under which the autocorrelations rho(...
what does 'bounds' signify in the autocorr function
Hi aboltabol, If we put autocorr(y), it will assume the true process is a white noise, under which the autocorrelations rho(...
plus de 8 ans il y a | 0
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A répondu
How to get the expected Hessian variance-covariance matrix from vgxvarx?
Hi Lisa, The parameter covariance matrix is not an output variable of VGXVARX, while the standard errors are returned as the ...
How to get the expected Hessian variance-covariance matrix from vgxvarx?
Hi Lisa, The parameter covariance matrix is not an output variable of VGXVARX, while the standard errors are returned as the ...
plus de 8 ans il y a | 0
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Is it possible to adapt a vector autoregressive model’s parameters continuously without the need to rerun vgxvarx?
Hi Peta, The VGXVARX function cannot adapt model parameters, but the idea you proposed can be implemented. VAR models are typ...
Is it possible to adapt a vector autoregressive model’s parameters continuously without the need to rerun vgxvarx?
Hi Peta, The VGXVARX function cannot adapt model parameters, but the idea you proposed can be implemented. VAR models are typ...
plus de 8 ans il y a | 0
A répondu
GARCH Error: Econometrics Toolbox
You might consider adding a mean equation, say an AR(p) process, to your model, as I saw the “Offset” term is Inf and the “Const...
GARCH Error: Econometrics Toolbox
You might consider adding a mean equation, say an AR(p) process, to your model, as I saw the “Offset” term is Inf and the “Const...
plus de 8 ans il y a | 0
A répondu
problem with estimate ARIMA
Hi Jan, The error means that there are eigenvalues outside the unit circle. Since an explosive economic time series is unlike...
problem with estimate ARIMA
Hi Jan, The error means that there are eigenvalues outside the unit circle. Since an explosive economic time series is unlike...
plus de 8 ans il y a | 0
| A accepté
A répondu
Problem with vector autoregressive model (vgxvarx) - "Covariance is not positive-definite."
Hi Peta, The codes appear syntactically correct. You might want to check the correlations of your 27 variables and the consta...
Problem with vector autoregressive model (vgxvarx) - "Covariance is not positive-definite."
Hi Peta, The codes appear syntactically correct. You might want to check the correlations of your 27 variables and the consta...
plus de 8 ans il y a | 0
| A accepté
A soumis
Counting the Floating Point Operations (FLOPS)
Scan and parse each line of MATLAB codes, and infer FLOPS based on matrix sizes
presque 9 ans il y a | 53 téléchargements |
A répondu
Including exogenous (predictor) variables in the state equation of a state space model
I think there are couple of ways to put an exogenous term in the state equation. First, we may add a constant one as the sta...
Including exogenous (predictor) variables in the state equation of a state space model
I think there are couple of ways to put an exogenous term in the state equation. First, we may add a constant one as the sta...
environ 9 ans il y a | 1
| A accepté
A répondu
New vs Old Econometrics Toolbox: garchset/garchfit vs gatch/estimate/infer for getting conditional standard deviations
I think there are two main causes of the result discrepancy. First, the GARCHFIT estimates an offset term (the intercept term...
New vs Old Econometrics Toolbox: garchset/garchfit vs gatch/estimate/infer for getting conditional standard deviations
I think there are two main causes of the result discrepancy. First, the GARCHFIT estimates an offset term (the intercept term...
environ 9 ans il y a | 1
A répondu
ARMA simulation and estimation
The ESTIAMTE method of ARIMA does not accept multiple paths of data. Instead, we may estimate the model path by path using a FOR...
ARMA simulation and estimation
The ESTIAMTE method of ARIMA does not accept multiple paths of data. Instead, we may estimate the model path by path using a FOR...
environ 9 ans il y a | 1
A répondu
Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.
I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model obje...
Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.
I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model obje...
presque 10 ans il y a | 0
A répondu
How to compute confidence bands for IRF's within in vgx framework?
Hi Esben, I am not aware of an easy way to compute the confidence intervals of the impulse-responses using vgx functionalitie...
How to compute confidence bands for IRF's within in vgx framework?
Hi Esben, I am not aware of an easy way to compute the confidence intervals of the impulse-responses using vgx functionalitie...
presque 10 ans il y a | 0
A répondu
Wind speed prediction using ARIMA model
To forecast an ARIMA model, we want to provide both a fitted model as well as data. The former only carries model coefficients, ...
Wind speed prediction using ARIMA model
To forecast an ARIMA model, we want to provide both a fitted model as well as data. The former only carries model coefficients, ...
presque 10 ans il y a | 3
| A accepté
A répondu
Inquiry on Johansen method (jcitest function)
I think the number of cointegrations inferred from the data is suggestive rather than conclusive. If we have some theory that ba...
Inquiry on Johansen method (jcitest function)
I think the number of cointegrations inferred from the data is suggestive rather than conclusive. If we have some theory that ba...
presque 10 ans il y a | 0
A répondu
Estimate state-space model parameters using Parameter Mapping function
If we included the beta*S*I term, the state transition would be non-linear with respect to past states B, S, I, P, and D. In tha...
Estimate state-space model parameters using Parameter Mapping function
If we included the beta*S*I term, the state transition would be non-linear with respect to past states B, S, I, P, and D. In tha...
presque 10 ans il y a | 0
A répondu
How to get GARCH parameters into a vector
To save the GARCH estimator as a vector, add a line to the above codes: estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)]...
How to get GARCH parameters into a vector
To save the GARCH estimator as a vector, add a line to the above codes: estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)]...
environ 10 ans il y a | 0
A répondu
How can I estimate a Vector Autoregressive (VAR) Model by OLS?
Yes, estimation of a VAR(p) model by OLS is possible using the vgxvarx functionality. The vgxvarx uses maximum likelihood for r...
How can I estimate a Vector Autoregressive (VAR) Model by OLS?
Yes, estimation of a VAR(p) model by OLS is possible using the vgxvarx functionality. The vgxvarx uses maximum likelihood for r...
environ 10 ans il y a | 2
A répondu
Why would vgxsim and vgxpred yield different forecasts?
I think vgxsim and vgxpred will produce the same forecasts as long as the presample values are specified. For a VAR(p) model, vg...
Why would vgxsim and vgxpred yield different forecasts?
I think vgxsim and vgxpred will produce the same forecasts as long as the presample values are specified. For a VAR(p) model, vg...
environ 10 ans il y a | 0
A répondu
Error With Forecasting ARIMAX Model
To forecast the ARIMA model, we want a model with all coefficients being known. After parameter estimation, the fitted model is ...
Error With Forecasting ARIMAX Model
To forecast the ARIMA model, we want a model with all coefficients being known. After parameter estimation, the fitted model is ...
environ 10 ans il y a | 0
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Toolkit on Econometrics and Economics Teaching
Many MATLAB routines related to econometrics, statistics and introductory economics teaching.
plus de 12 ans il y a | 33 téléchargements |
