10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
...
It is now supported by the MATLAB editor (as of R2022a).
The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).
The particles submodule is not updated at this point, because it is in an
inconsistent state.
[skip ci]
2022-04-13 14:54:25 +02:00
Stéphane Adjemian (Ryûk)
cd2ed823b6
Fix constant in VAR and PAC expectations...
...
When the VAR auxiliary model has a constant.
2021-07-21 18:02:11 +02:00
Stéphane Adjemian (Ryûk)
a69f68bb7c
Modify companion matrix if VAR model has a constant.
2021-07-21 18:02:04 +02:00
Stéphane Adjemian (Ryûk)
54f80e88d2
Add structural VAR as an auxiliary model for VAR based expectations and PAC expectations.
...
Ref. #1785
Just add option `structural` to the `var_model` command.
2021-07-16 10:25:18 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
5a519b812f
Updated comments.
2019-03-29 17:52:46 +01:00
7b7bca8bda
Generalised trend component model.
...
Added the possibility to associate more than one trend to an endogenous
variable. The number of error correction equations is longer required to be
equal to the number of trends.
2019-03-29 17:52:46 +01:00
dfb62e4ebc
Fixed models with fewer targets than EC equations.
2019-02-21 12:52:12 +01:00
c96f55309d
Fixed typo.
2019-02-21 12:52:12 +01:00
6e7a2e2c20
Fixed ordering of the targets.
2019-02-21 12:52:12 +01:00
a7165e2c12
fix tests
2019-02-19 12:34:30 +01:00
8f1aef3f57
get_companion_matrix: evalin base not necessary
2019-02-14 12:19:34 +01:00
4775bca073
Fixed ordering of the columns of the Companion matrix...
...
For the level representation of the trend component model.
2018-12-14 17:37:35 +01:00
510bc2e299
Removed unused variable.
2018-10-24 12:08:00 +02:00
1c1a3ea0a4
Removed tests on targets.
...
A target does not need to be a random walk. Also added a new integration
test (where the target is a constant, 0).
2018-10-24 12:06:14 +02:00
bbbaabc702
Cosmetic change.
2018-09-28 12:26:59 +02:00
973c3955f0
adjust for ‘targets’ keyword instead of ‘trends’
2018-09-25 14:58:36 +02:00
974bcd92ae
Merge branch 'ecb-master' into ecb-master-targets
2018-09-25 14:41:11 +02:00
c6d5b09c29
fix typo
2018-09-25 14:39:48 +02:00
031e2c87c6
New version of get_companion_matrix + new integration test.
...
The routine is still buggy. In PAC and VAR_EXPECTATION models we
use get_companion_matrix_legacy routine instead.
2018-09-19 17:39:48 +02:00
eb316d7e2d
update files for change of option name from `trends` to `targets`
2018-09-13 12:24:32 +02:00
74094683de
get_companion_matrix: fix header
2018-09-12 18:29:21 +02:00
a6150bae82
get_companion_matrix: simplify check (no need for allocation)
2018-09-12 18:29:14 +02:00
a32e2f165a
get_companion_matrix: remove unnecessary conditional
2018-09-12 18:29:07 +02:00
044f0f8de6
Added missing output required by some integration tests.
2018-09-03 17:38:09 +02:00
5ea0c8098b
Ensure that the ordering of the trend variables is consistent...
...
... With the ordering of the EC variables.
2018-09-03 17:35:59 +02:00
4a0b3ffe7e
Adapted matlab code to new TREND_COMPONENT auxiliary model.
2018-08-21 21:49:58 +02:00
8b3ba814c7
Fixed PAC index for target variable in companion VAR.
2018-08-10 15:42:13 +02:00
451385774b
Cosmetic changes.
2018-08-10 15:36:41 +02:00
5b30ed34ae
Allow calls to get_companion_matrix routine with only one argument.
2018-08-04 20:15:52 +02:00
bc54022da6
Fixed row ordering issue in the trend component model.
2018-07-09 18:41:35 +02:00
f84a6fefb7
Efficiency changes.
2018-06-19 15:40:17 +02:00
4710e68555
Fixed bug.
...
The get_companion_matrix routine was crashing if the model block contained
variables exogenous w.r.t the auxiliary model used for the PAC expectations (in
the trend component model case), before the equations of the auxiliary model.
2018-06-19 14:11:10 +02:00
701633769d
Removed hack that is not needed anymore.
2018-06-11 18:22:31 +02:00
447d4ff561
Allow for non diagonal A0 matrix in Error Correction Models.
2018-06-08 12:17:29 +02:00
ec0f5ad701
fix indexing bug
2018-06-07 18:48:32 +02:00
1730269e80
Fixed bug.
2018-06-01 18:36:42 +02:00
e435a34d90
Tempoarary fix for bug in get_ar_matrices routine.
...
The number of lags returned in models with diff(dif((x))) is wrong.
2018-05-31 12:14:36 +02:00
27e21acd5a
Adapt h1 formula depending on PAC's auxiliary model (var or vecm).
2018-05-30 18:26:18 +02:00
d96d039a8a
Added VECM as auxiliary model for PAC.
2018-05-29 15:51:31 +02:00
a4120a84b6
Adapted matlab routines to recent changes in preprocessor.
2018-05-16 21:31:31 +02:00
6384c9636c
var: fix AR, EC matrices
2018-05-15 16:30:53 +02:00
eb042b145e
Removed debugging display.
2018-04-26 17:46:22 +02:00
d6a20af5f3
Added companion matrix corresponding to the VECM in levels.
2018-04-26 16:42:04 +02:00
ec003d055f
Cosmetic changes.
2018-02-26 12:28:03 +01:00
8be229497a
Added routine for evaluating the companion matrix of a VAR model.
2018-02-09 10:57:29 +01:00
Sébastien Villemot
Stéphane Adjemian (Ryûk)
Stéphane Adjemian (Charybdis)
Houtan Bastani
Stéphane Adjemia (Scylla)
Stéphane Adjemian(Charybdis)