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He is a researcher in time series analysis and Bayesian econometrics. Professional Interests: Bayesian Econometrics

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Hi aboltabol, If we put autocorr(y), it will assume the true process is a white noise, under which the autocorrelations rho(...

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Answered 28 days ago

Hi Lisa, The parameter covariance matrix is not an output variable of VGXVARX, while the standard errors are returned as the ...

Hi Jan, The error means that there are eigenvalues outside the unit circle. Since an explosive economic time series is unlike...

Answered 4 months ago

Hi Peta, The codes appear syntactically correct. You might want to check the correlations of your 27 variables and the consta...

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...

Answered 8 months ago

To forecast an ARIMA model, we want to provide both a fitted model as well as data. The former only carries model coefficients, ...

Answered 1 year ago

Yes, estimation of a VAR(p) model by OLS is possible using the vgxvarx functionality. The vgxvarx uses maximum likelihood for r...

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To forecast the ARIMA model, we want a model with all coefficients being known. After parameter estimation, the fitted model is ...

146 downloads

4 years ago

Recently I packed up about a hundred MATLAB routines related to econometrics and statistics, which are written mostly in my spar...

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Posted 4 years ago

115 downloads

1 month ago

Hi Folmer, When we convert a VAR to VEC, using VEC = var2vec(VAR), we assume that the VAR coefficients are known, so that the...

Answered 7 days ago

Hi Imner, Eigenvalue restrictions are nonlinear constraints imposed on the least square estimators. To estimate parameters, w...

Hi Peta, The VGXVARX function cannot adapt model parameters, but the idea you proposed can be implemented. VAR models are typ...

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...

Scan and parse each line of MATLAB codes, and infer FLOPS based on matrix sizes

71 downloads

7 months ago

I think there are two main causes of the result discrepancy. First, the GARCHFIT estimates an offset term (the intercept term...

The ESTIAMTE method of ARIMA does not accept multiple paths of data. Instead, we may estimate the model path by path using a FOR...

I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model obje...

Hi Esben, I am not aware of an easy way to compute the confidence intervals of the impulse-responses using vgx functionalitie...

I think the number of cointegrations inferred from the data is suggestive rather than conclusive. If we have some theory that ba...

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...

To save the GARCH estimator as a vector, add a line to the above codes: estParams = [cell2mat(fit.GARCH), cell2mat(fit.ARCH)]...

I think vgxsim and vgxpred will produce the same forecasts as long as the presample values are specified. For a VAR(p) model, vg...