Name

theilbv — Performs Theil-Goldberger for theilbv model

CALLING SEQUENCE

results=theilbv(nlag,tight,weight,decay,arg1,…,argn)

PARAMETERS

Input

• y = nobs x 1 input vector

• x = nobs x nvar input explanatory variables matrix

• nobs = # of observations

• neqs = # of equations

• eqn = # equation number

• nlag = the lag length of the VAR

• theta = Litterman's tightness hyperparameter

• weight = Litterman's weight (matrix or scalar)

• decay = Litterman's lag decay = lag^(-decay)

• scale = scaling vector (determined in bvar)

• scale2 = scaling vector (determined in bvar)

• nx = # of deterministic variables excluding constant term

Output

• results = a results tlist with:

  . results('meth')  = 'bvar'

  . results('beta')  = bhat

  . results('tstat') = t-statistics

  . results('tprob') = t-probabilities

  . results('yhat')  = yhat

  . results('resid') = residuals

  . results('sige')  = e'*e/(n-k)

  . results('rsqr')  = rsquared

  . results('rbar')  = rbar-squared

  . results('nobs')  = nobs

  . results('nvar')  = nvar

  . results('xpxi)   = inv(x'*x)

DESCRIPTION

Performs Theil-Goldberger for bvar model. Used in function bvar1.

EXAMPLE

bresult = theilbv(yvec,ymat,nlag,neqs,i,tight,weight,decay,scale2,scale,nx);
 
Example taken from function bvar1. Should not have many other uses! 

               

AUTHOR

Eric Dubois 2002