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Allow for non diagonal A0 matrix in Error Correction Models.

time-shift
Stéphane Adjemian(Charybdis) 2018-06-08 12:16:36 +02:00
parent ec0f5ad701
commit 447d4ff561
1 changed files with 1 additions and 16 deletions
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17
matlab/get_companion_matrix.m
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@ -144,22 +144,7 @@ else
end
end
end
% Associate trends with error correction equations. It is assumed
% that only one stochastic trend enters in each error correction
% term.
ecm_trend_eq = zeros(size(ecm_eqnums));
for i=1:m
[id, id1, id2] = intersect(trend_autoregressive_variables, M_.var.(var_model_name).rhs.vars_at_eq{ecm_eqnums(i)}.var);
if isempty(id)
error('Cannot find Error Correction term in equation %s!', M_.var.(var_model_name).eqtags{ecm_eqnums(i)})
else
if length(id)>1
error('Cannot have more than one stochastic trend in Error Correction term in equation %s!', M_.var.(var_model_name).eqtags{ecm_eqnums(i)})
else
ecm_trend_eq(i) = trend_eqnums(id1);
end
end
end
ecm_trend_eq = trend_eqnums;
% Get the EC matrix (the EC term is assumend to be in t-1).
%
% TODO: Check that the EC term is the difference between the