Grocer Function

NAME

varma - estimation of a (V)ARMA(X) model

CALLING SEQUENCE

result=varma(endo,AR,ARS,MA,MAS,v,s,varargin)

PARAMETERS

Input

Output

DESCRIPTION

Estimates a VARMA model using E4 functions the ARMA model has the following form:
where L is the lag operator, X is an optional vector of exogenous variables

EXAMPLE

mtlb_load('SCI/scied/grocer/encours/e4sci/seriesa.dat'); elec_cons = transdif(seriesa,0,1,1,12); results=varma(elec_cons,[],[],0,0,0,12)

Provides the estimation of a VARMA model without AR part and without exogenous variables (in particular without constant) Series are monthly and starting values for the 3 estimated parameters (the first MA parameter, the first seasonal MA and the variance of residuals) are all 0.

AUTHOR

Eric Dubois 2004