<< scstd VAR estimations tvp_var_diagnos >>

Grocer >> VAR estimations > theilbv

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

Report an issue
<< scstd VAR estimations tvp_var_diagnos >>