702e6d4cc7
Fixed lag number in PAC equation.
...
The number of autoregressive parameters has to be equal to the number of lags
in the PAC equation.
2018-08-13 12:41:37 +02:00
8b3ba814c7
Fixed PAC index for target variable in companion VAR.
2018-08-10 15:42:13 +02:00
dc026329a7
Cosmetic change.
2018-08-04 20:14:28 +02:00
0edebbe5d7
Added Iterative OLS routine for PAC equation.
2018-07-23 16:12:46 +02:00
f03a9b98e1
Fixed typo.
2018-07-20 17:09:15 +02:00
cd9410644f
Moved PAC estimation routine (NLS).
2018-07-16 16:30:07 +02:00
9468c5b61d
Bug fix in PAC equation simulation/estimation.
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Fixed the definition of idns (must target the trend variable).
2018-07-16 15:38:04 +02:00
c46fe7fcfa
Added check routine for PAC equation.
2018-07-16 14:56:05 +02:00
2256acfa73
Fixed replacement of LHS variable if the equation has no lag.
2018-07-13 19:10:25 +02:00
9b51b1ee16
Fixed logic for replacing variables by views of the data array.
2018-07-13 19:07:38 +02:00
51332c6fd6
Fixes related to the new "+" subfolder.
2018-07-10 18:34:49 +02:00
829849f4db
Fixed regular expression used to identify a PAC auxiliary model.
2018-07-05 11:50:50 +02:00
227ac46aa9
Fixed bug related to the parameters in PAC equation.
2018-07-04 10:02:19 +02:00
f248feb839
Fixed function handle name for sum of square residuals.
2018-07-04 09:38:19 +02:00
37bd4a1fea
Added routine for estimating a PAC equation by NLS.
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This is not a final version. The routine does not print the estimation result, and does not
compute the variance of the estimator. The routine updates the content of M_.params with the
vector of PAC parameters minimizing the sum of squared residuals.
2018-06-21 18:48:58 +02:00
45115e1172
Replaced pac.update.equation() by pac.update.expectation().
2018-06-21 18:47:57 +02:00
27e21acd5a
Adapt h1 formula depending on PAC's auxiliary model (var or vecm).
2018-05-30 18:26:18 +02:00
a4120a84b6
Adapted matlab routines to recent changes in preprocessor.
2018-05-16 21:31:31 +02:00
57bb6f3fe9
Fixed typo.
2018-04-12 12:23:50 +02:00
61c643a91f
Updated the preprocessor submodule (new PAC interface).
2018-04-12 10:11:09 +02:00
a135c49469
Added routines for PAC expectations.
2018-02-28 15:00:42 +01:00
Stéphane Adjemian(Charybdis)