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

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Sandro Bianchini
Sandro Bianchini on 12 Jul 2016
Commented: Hang Qian on 19 Aug 2016
Hello,
I am using the function filter to estimate portfolio returns. I get the following message when the code has to execute the function filter:
" 'Y0' is not a recognized parameter. For a list of valid name-value pair arguments, see the documentation for this function."
the code is the following:
portfolioReturns = filter(fit, bootstrappedResiduals,'V0', preSigma, 'Y0', preReturn, 'Z0', preResidual);
I have estimated a garch model with "estimate" at the beginning of the code.
Why do I get this type of error if in the documentation the input 'Y0' is reported. If I remove that input, all else equal, I get no error.
Any help?
Thanks
  5 Comments
Adam
Adam on 13 Jul 2016
Looking at the help page of the actual function:
'Y0' is not listed as a valid argument so I assume the example you are looking at is outdated.
I don't have the Econometrics Toolbox myself so I can't really judge any further what is going on beyond that.

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Answers (2)

Hang Qian
Hang Qian on 19 Aug 2016
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 guess that the FILTER function might be altered, say someone wants to customize the codes and overloads the internal function.
- Hang Qian

Walter Roberson
Walter Roberson on 19 Aug 2016
The filter method of GARCH does not have a name-value pair for Y0. The filter method of arima does have a name-value pair for Y0
  1 Comment
Hang Qian
Hang Qian on 19 Aug 2016
Oh yes, you are right. The model constructed in the demo is an ARIMA model with an EGARCH variance. So it has the name-value pair Y0. It should work in all versions of MATLAB as long as ARIMA functionalities were born.

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