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Grocer >> ARMA and VARMA tools > theta2arma

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

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