From 8d1c8f35ae550febfd36ac1a479e0e43177e6915 Mon Sep 17 00:00:00 2001 From: Houtan Bastani Date: Tue, 29 Nov 2016 17:23:45 +0100 Subject: [PATCH] var_forecast: example with two variables in var --- tests/ECB/example1_var.mod | 2 +- tests/ECB/run_var_comparison.m | 16 ++++++++-------- 2 files changed, 9 insertions(+), 9 deletions(-) diff --git a/tests/ECB/example1_var.mod b/tests/ECB/example1_var.mod index 07b8afbc1..cf08fe71e 100644 --- a/tests/ECB/example1_var.mod +++ b/tests/ECB/example1_var.mod @@ -13,7 +13,7 @@ theta = 2.95; phi = 0.1; -var_model(model_name=my_var_est, order=3) y; +var_model(model_name=my_var_est, order=3) y c; model; c*theta*h^(1+psi)=(1-alpha)*y; diff --git a/tests/ECB/run_var_comparison.m b/tests/ECB/run_var_comparison.m index 711df1d71..a0a5e7cc7 100644 --- a/tests/ECB/run_var_comparison.m +++ b/tests/ECB/run_var_comparison.m @@ -18,20 +18,20 @@ disp('VAR Estimation'); % Y = mu + B*Z % from New Introduction to Multiple Time Series Analysis -% Just y in order 3 var: -Y = oo_.endo_simul(1, 4:end); +% y and c in order 3 var: +Y = oo_.endo_simul(1:2, 4:end); Z = [ ... ones(1, size(Y,2)); ... - oo_.endo_simul(1, 3:end-1); ... - oo_.endo_simul(1, 2:end-2); ... - oo_.endo_simul(1, 1:end-3); ... + oo_.endo_simul(1:2, 3:end-1); ... + oo_.endo_simul(1:2, 2:end-2); ... + oo_.endo_simul(1:2, 1:end-3); ... ]; %B = Y*Z'*inv(Z*Z'); B = Y*Z'/(Z*Z'); mu = B(:, 1); -autoregressive_matrices{1} = B(:, 2); -autoregressive_matrices{2} = B(:, 3); -autoregressive_matrices{3} = B(:, 4); +autoregressive_matrices{1} = B(:, 2:3); +autoregressive_matrices{2} = B(:, 4:5); +autoregressive_matrices{3} = B(:, 6:7); % Sims % (provides same result as above)