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Hang Qian


Iowa State University

40 total contributions since 2011

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

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Answered
How to subtract two matrices of character type arrays?
You may consider row-wise comparison (possibly in a FOR loop) setxor({'a','b','c','d','e'},{'a','b'}) setxor({'a','b','c',...

1 month ago | 0

| accepted

Submitted


MIDAS Matlab Toolbox
Repack of Mi(xed) Da(ta) S(ampling) regressions (MIDAS) written by Eric Ghysels and collaborators

1 month ago | 86 downloads |

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Answered
panel ols with unbalanced data
Hi Alberto, For an unbalanced panel data set, one may consider padding NaNs in the response variables for those cross-section...

3 months ago | 1

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Answered
converting garchsim with simulate or filter
Hello Sandro, GARCHSIM has been retired and is no longer available in the Econometrics Toolbox. One way to recover "preRe...

4 months ago | 0

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

4 months ago | 0

Answered
using"filter" - error message for inputs 'Y0'
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 ...

4 months ago | 0

Answered
How to estimate NAIRU in a state space model of the econometrics toolbox
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...

4 months ago | 0

Answered
How to avoid GARCH estimation model to show output in the command window?
Hi Haoqing, To suppress display, we can add a name-value pair 'Display', say EstMdlGARCH_i=estimate(Mdl,r(i:i+843),'Displa...

4 months ago | 0

Answered
Seemingly Unrelated Regressions (SUR) with equivalent of the White or Newey-West covariance matrix?
Hi Ilona, Suppose that we have a SUR with n equations and T periods. First, estimate a SUR system using the function VGXVA...

6 months ago | 0

Responded


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Yeah, the webpage is no longer active since I graduated from Iowa State.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

6 months ago | 4562 views

Answered
Time Series Forecasting after taking first differences
Hi shackelferd, Time series regression of non-stationary, but not cointegrated, data may suffer from the “spurious regressio...

7 months ago | 0

Answered
Is it possible to triangularize the VAR system in order to orthogonalize the innovations?
Hi Richard, I think it depends on the VAR specification. If the triangularized model looks like Y(t) = A1 * Y(t-1) + A...

7 months ago | 0

Answered
Creating a block matrix of matrices?
Hello, If the FOR loop is not your choice, you may consider the following: >> A = [1 1]; >> B = [2 2]; >> C = blkdia...

7 months ago | 0

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Answered
Estimate ARMA(1,1) using estimate: Parameter AR(1) is missing
The problem appears unusual. I tried your codes estimate(arima('ARLag',1,'MALag',1,'Constant',0),y) However, the software...

9 months ago | 0

Answered
Detrend timeseries of conditional heteroscedasticiy using GARCH(1,1)
Hi Jannic, To remove the conditional variance from the observations, we may first estimate the model, and then we infer the c...

11 months ago | 1

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Responded


Re: estimating parameters using ssm
Hi Miguel, The model you specified is supported by the SSM functionalities in the Econometrics Toolbox. There are several ways ...

11 months ago | 726 views

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

11 months ago | 0

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

1 year ago | 0

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How to impose restrictions on a parameter matrix
Hi Imner, Eigenvalue restrictions are nonlinear constraints imposed on the least square estimators. To estimate parameters, w...

1 year ago | 0

Answered
what does 'bounds' signify in the autocorr function
Hi aboltabol, If we put autocorr(y), it will assume the true process is a white noise, under which the autocorrelations rho(...

1 year ago | 0

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Answered
How to get the expected Hessian variance-covariance matrix from vgxvarx?
Hi Lisa, The parameter covariance matrix is not an output variable of VGXVARX, while the standard errors are returned as the ...

1 year ago | 0

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Answered
Is it possible to adapt a vector autoregressive model’s parameters continuously without the need to rerun vgxvarx?
Hi Peta, The VGXVARX function cannot adapt model parameters, but the idea you proposed can be implemented. VAR models are typ...

1 year ago | 0

Answered
GARCH Error: Econometrics Toolbox
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...

1 year ago | 0

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

1 year ago | 0

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Answered
Problem with vector autoregressive model (vgxvarx) - "Covariance is not positive-definite."
Hi Peta, The codes appear syntactically correct. You might want to check the correlations of your 27 variables and the consta...

1 year ago | 0

| accepted

Submitted


Counting the Floating Point Operations (FLOPS)
Scan and parse each line of MATLAB codes, and infer FLOPS based on matrix sizes

1 year ago | 43 downloads |

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Answered
Including exogenous (predictor) variables in the state equation of a state space model
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...

1 year ago | 0

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Answered
New vs Old Econometrics Toolbox: garchset/garchfit vs gatch/estimate/infer for getting conditional standard deviations
I think there are two main causes of the result discrepancy. First, the GARCHFIT estimates an offset term (the intercept term...

1 year ago | 0

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

1 year ago | 0

Answered
Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.
I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model obje...

2 years ago | 0

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