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

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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...

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Answered 3 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

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

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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

88 downloads

21 days ago

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

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2 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)]...

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

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