Is there an example on creating and fitting VARMAX models with exogenous inputs in Econometrics Toolbox 1.3 (R2010a)?
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MathWorks Support Team
on 8 Aug 2011
Edited: MathWorks Support Team
on 2 Dec 2013
I am trying to use a VARMAX model with exogenous inputs. I could not find any examples in MATLAB documentation for this. I did see the following page on including exogenous data:
<http://www.mathworks.com/help/releases/R2011a/toolbox/econ/vgxqual.html>
This gives more information on how to include exogenous data into VARMAX models. But a sample code on creating such a model is not given.
Accepted Answer
MathWorks Support Team
on 18 Oct 2013
The attached MATLAB file shows an small example on handling trends in a VARMAX/VARX model. It also shows how to set up a model, to simulate, to estimate, and to forecast with exogenous inputs.
The MATLAB file also highlights difference between a "true" VARMAX model and an estimated VARX model.
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