Grocer Function
NAME
theta2arma - transformation of VARMA model into its reduced form
CALLING SEQUENCE
[F,A,V,G]=theta2arma(theta,theta2mat)
PARAMETERS
Input
-
theta = (npx1) vector of parameters
-
theta2mat = a string vector of instructions that transforms
Output
-
F = the MA part of the model
-
A = the MA part of the model
-
V = the variance of residuals
-
G = the exogenous part of the model
DESCRIPTION
Converts a VARMA model to reduced form VARMAX notation. The input arguments corresponding to the model:
(I + AR1·B + ... +ARp·B^p)(I + ARS1·B^s + ... + ARSps·B^ps·s) y(t) =
(G0 + G1·B + ... + Gt·B^l) u(t) + (I + MA1·B + ... + MAq·B^q)(I + MAS1·B^s + ... + MASqs·B^qs·s) a(t)
are transformed to:
F(B)y(t) = G(B)u(t) + A(B)e(t)
EXAMPLE
[F,A,V,G]=theta2arma(theta,theta2mat)
Taken from function theta2fr. Since this function is an intermediate calculation in an VARMA estimation, it would be diffcult
to use it outside this framework.
AUTHOR
Jaime Terceiro, 1997/ Eric Dubois 2004