<< balance_identity Contributions contrib_logq2gra >>

Grocer >> Contributions > contrib

contrib

contribution of an exogenous variable

CALLING SEQUENCE

[contrib_x]=contrib(vari,mainf_proxy)

PARAMETERS

Input

• vari = the exogenous variable, either a ts, a vector or such an object

• mainf_proxy = the nbterms first terms of the Infinite Moving average

• dropna = 'dropna' if the user wants to remove the NA values from the data (optional)

Output

• contrib_x = the vector of contributions

DESCRIPTION

Calculates contribution of variable vari to the evolution of an endogenous variable, with response function mainf_proxy.

EXAMPLE

1) load(GROCERDIR+'/macros/grocer/db/bdhenderic.dat'); rnet_mainf=mainf([1-0.1746071-0.0928556 ; 0.1746071],-0.6296264);rnet_contrib=contrib(delts(rnet),rnet_mainf)
2) load(GROCERDIR+'/macros/grocer/db/bdhenderic.dat'); rnet_mainf=mainf([1-0.1746071-0.0928556 ; 0.1746071],-0.6296264,107);rnet_contrib=contrib(delts(rnet),rnet_mainf)
 
The two examples calculate the contribution of the interest rate to the delta of logarithm of m1 according to Hendry and Ericsson 
model (estimated by grocer function hendryericsson(). In the first one, the moving average approximation has been calculated 
only for the 100 first terms (default of mainf); Therefore contrib has given the message "WARNING:# of terms in the response
function lower than the # of observations". In the second example, this number of terms has been adjusted to the length
of the ts and the warning message no longer occurs.

AUTHOR

Eric Dubois 2004

<< balance_identity Contributions contrib_logq2gra >>