Grocer Function
NAME
theilbv - Performs Theil-Goldberger for theilbv model
CALLING SEQUENCE
results=theilbv(nlag,tight,weight,decay,arg1,...,argn)
PARAMETERS
Input
-
y = nobs x 1 input vector
-
x = nobs x nvar input explanatory variables matrix
-
nobs = # of observations
-
neqs = # of equations
-
eqn = # equation number
-
nlag = the lag length of the VAR
-
theta = Litterman's tightness hyperparameter
-
weight = Litterman's weight (matrix or scalar)
- decay = Litterman's lag decay = lag^(-decay)
-
scale = scaling vector (determined in bvar)
-
scale2 = scaling vector (determined in bvar)
-
nx = # of deterministic variables excluding constant term
Output
-
results = a results tlist with:
. results('meth') = 'bvar'
. results('beta') = bhat
. results('tstat') = t-statistics
. results('tprob') = t-probabilities
. results('yhat') = yhat
. results('resid') = residuals
. results('sige') = e'*e/(n-k)
. results('rsqr') = rsquared
. results('rbar') = rbar-squared
. results('nobs') = nobs
. results('nvar') = nvar
DESCRIPTION
Performs Theil-Goldberger for bvar model. Used in function bvar1.
EXAMPLE
bresult = theilbv(yvec,ymat,nlag,neqs,i,tight,weight,decay,scale2,scale,nx);
Example taken from function bvar1. Should not have many other uses!
AUTHOR
Eric Dubois 2002