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What are the Matlab 'vgxvarx' error distributions?

Asked by Robert

Robert (view profile)

on 18 Sep 2013

Does the Matlab 'vgxvarx' function assume that the errors of the VAR process follow a Gaussian distribution. If not how is the likelihood calculated.

I have read the documentation but cannot work out if this is the case or not.


1 Comment

Jan Simon

Jan Simon (view profile)

on 19 Sep 2013

Just a side-note: I though isequalwithequalnans is the ugliest function name. vgxvarx is worse.


Robert (view profile)


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