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

Top 5% contributor

75 downloads

18 days ago

Yeah, the webpage is no longer active since I graduated from Iowa State. There is still a copy at the File Exchange. http://www....

4094 views

Responded 3 months ago

Hi Jannic, To remove the conditional variance from the observations, we may first estimate the model, and then we infer the c...

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1

Answered 8 months ago

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

Posted 5 years ago

64 downloads

5 years ago

Hello, If the FOR loop is not your choice, you may consider the following: >> A = [1 1]; >> B = [2 2]; >> C = blkdia...

0

Answered 4 months ago

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

Answered 10 months 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 1 year 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...

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

Answered 2 years ago

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

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

Hello Sandro, GARCHSIM has been retired and is no longer available in the Econometrics Toolbox. One way to recover "preRe...

Answered 6 days ago

The properties of the ARIMA object can be reset by users. These codes should work. If not, the function might be corrupted. For ...

The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I ...

It seems that the constructed SSM is not exactly the same as the one described in the equations. Usually C and D is a low-dimens...

Hi Haoqing, To suppress display, we can add a name-value pair 'Display', say EstMdlGARCH_i=estimate(Mdl,r(i:i+843),'Displa...

Hi Ilona, Suppose that we have a SUR with n equations and T periods. First, estimate a SUR system using the function VGXVA...

Answered 3 months ago

Hi shackelferd, Time series regression of non-stationary, but not cointegrated, data may suffer from the “spurious regressio...

Hi Richard, I think it depends on the VAR specification. If the triangularized model looks like Y(t) = A1 * Y(t-1) + A...

The problem appears unusual. I tried your codes estimate(arima('ARLag',1,'MALag',1,'Constant',0),y) However, the software...

Answered 6 months ago

Hi Miguel, The model you specified is supported by the SSM functionalities in the Econometrics Toolbox. There are several ways ...

534 views

Responded 8 months ago

Hi Roberto, The error message “the non-seasonal autoregressive polynomial is unstable” indicates that some of the eigenvalues...

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 9 months 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

37 downloads

1 year ago

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