57 lines
1.4 KiB
Matlab
57 lines
1.4 KiB
Matlab
function [YtY,XtY,YtX,XtX,Y,X] = var_sample_moments(FirstObservation,LastObservation,qlag,trend);
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global options_
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X = [];
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Y = [];
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YtY = [];
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YtX = [];
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XtY = [];
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XtX = [];
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if exist(options_.datafile)
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eval(options_.datafile);
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else
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eval(['load ' options_.datafile]);
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end
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data = [ ];
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for i=1:size(options_.varobs,1)
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data = [data eval(deblank(options_.varobs(i,:)))];
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end
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if qlag > FirstObservation
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disp('VarSampleMoments :: not enough data to initialize! Try to increase FirstObservation.')
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return
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end
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NumberOfObservations = LastObservation-FirstObservation+1;
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NumberOfVariables = size(data,2);
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if trend == -1% No constant
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X = zeros(NumberOfObservations,NumberOfVariables*qlag);
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elseif trend == 0% Constant
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X = zeros(NumberOfObservations,NumberOfVariables*qlag+1);
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indx = NumberOfVariables*qlag+1;
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elseif trend == 1;% Constant + Trend
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X = zeros(NumberOfObservations,NumberOfVariables*qlag+2);
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indx = NumberOfVariables*qlag+1:NumberOfVariables*qlag+2;
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else
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disp('varols :: trend must be equal to -1,0 or 1!')
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return
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end
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% I build matrices Y and X
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Y = data(FirstObservation:LastObservation,:);
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for t=1:NumberOfObservations
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line = t + FirstObservation-1;
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for lag = 1:qlag
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X(t,(lag-1)*NumberOfVariables+1:lag*NumberOfVariables) = data(line-lag,:);
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end
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if trend == 0
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X(t,indx) = 1;
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elseif trend == 1
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X(t,indx) = [ 1 , t ];
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end
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end
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YtY = Y'*Y;
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YtX = Y'*X;
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XtY = X'*Y;
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XtX = X'*X; |