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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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