Name
theta2arma — transformation of VARMA model into its reduced form
CALLING SEQUENCE
[F,A,V,G]=theta2arma(theta,theta2mat)
PARAMETERS
- Input
theta = (npx1) vector of parameters
theta2mat = a string vector of instructions that transforms
- Output
F = the MA part of the model
A = the MA part of the model
V = the variance of residuals
G = the exogenous part of the model
DESCRIPTION
Converts a VARMA model to reduced form VARMAX notation. The input arguments corresponding to the model:
(I + AR1.B +
+ARp.B^p)(I + ARS1.B^s +
+ ARSps.B^ps.s) y(t) =
(G0 + G1.B +
+ Gt.B^l) u(t) + (I + MA1.B +
+ MAq.B^q)(I + MAS1.B^s +
+ MASqs.B^qs.s) a(t)
are transformed to:
F(B)y(t) = G(B)u(t) + A(B)e(t)
EXAMPLE
[F,A,V,G]=theta2arma(theta,theta2mat)
// Taken from function theta2fr. Since this function is an intermediate calculation in an VARMA estimation, it would be diffcult
// to use it outside this framework.
AUTHOR
Jaime Terceiro, 1997/ Eric Dubois 2004