0f3678ec4a
Fixed ordering of variables in error correction term of PAC equation
...
PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
2018-09-06 22:07:31 +02:00
36388ce28a
Fixed bug in PAC_EXPECTATION.
...
The selection of the target variable in the error correction term was still
wrong if the target variable was not an auxiliary variable.
2018-08-28 19:23:35 +02:00
18a2626543
Fixed bugs in PAC_EXPECTATION.
...
- The selection of the target variable in the error correction term was wrong.
- Target variables in logs were still not working.
2018-08-28 12:12:21 +02:00
ae530293c5
Fixed bug. Trends in log where not accounted for in PAC equation.
2018-08-27 19:35:33 +02:00
4a0b3ffe7e
Adapted matlab code to new TREND_COMPONENT auxiliary model.
2018-08-21 21:49:58 +02:00
38b2593e31
Efficiency changes.
2018-08-21 21:02:20 +02:00
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
f03a9b98e1
Fixed typo.
2018-07-20 17:09:15 +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
227ac46aa9
Fixed bug related to the parameters in PAC equation.
2018-07-04 10:02:19 +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)
Stéphane Adjemia (Scylla)