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What are the Matlab 'vgxvarx' error distributions?

Asked by Robert 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.

Thanks

1 Comment

Jan Simon on 19 Sep 2013

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

Robert

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