Calibrate VARMA Model using Econometrics Toolbox

Asked by Johann about 10 hours ago

Hi,

I try to estimate a VARMA model of which I dont know the parameter values using the function vgxvarx. First I specified the model as follows:

Spec2 = vgxset('n', 3, 'nAR', lagnum, 'nMA', lagnum2, 'Constant',true);

When trying to calibrate it

[EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(Spec2, p_all, 'IgnoreMA', 'yes');

I get the following error message:

*Error using vgxvarx (line 339) Specification includes a moving average component. Set 'IgnoreMA' to 'yes' to continue.

Error in ADF_test (line 69) [EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(Spec2, p_all, 'IgnoreMA', 'yes');*

I already set 'IgnoreMA' to 'yes'.

Finally I tried to convert it to a VAR model using vgxar.

SpecAR=vgxar(Spec2); 

Followed by

[EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(SpecAR, p_all);

Whereby I get the following error message * Error using vgxvarx (line 288) Response data and specification structure have different dimensions.

Error in ADF_test (line 70) [EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(SpecAR, p_all);*

What am I doing wrong? And when I get to estimate the VAR components, how do I proceed in order to estimate the missing VMA components?

Thanks a lot for your advices!

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Johann

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