Filter disturbances through vector error-correction (VEC) model collapse all in pageSyntax Y = filter(Mdl,Z) [Y,E] = filter(Mdl,Z) Tbl2 = filter(Mdl,Tbl1,Presample=Presample) [___] = filter(___,Name,Value)Description Y = filter(Mdl,Z) returns the numeric array Y containing the ...
The vecm function returns a vecm object specifying the functional form and storing the parameter values of a (p – 1)-order, cointegrated, multivariate vector error-correction model (VEC((p – 1)) model.
Infer vector error-correction (VEC) model innovations collapse all in pageSyntax E = infer(Mdl,Y) Tbl2 = infer(Mdl,Tbl1) ___ = infer(___,Name,Value) [___,logL] = infer(___)Description E = infer(Mdl,Y) returns a numeric array E containing the series of multivariate inferred inn...
Filter disturbances through vector error-correction (VEC) model collapse all in pageSyntax Y = filter(Mdl,Z) [Y,E] = filter(Mdl,Z) Tbl2 = filter(Mdl,Tbl1,Presample=Presample) [___] = filter(___,Name,Value)Description Y = filter(Mdl,Z) returns the numeric array Y containing the ...
Monte Carlo simulation of vector error-correction (VEC) model collapse all in pageSyntax Y = simulate(Mdl,numobs) Y = simulate(Mdl,numobs,Name=Value) [Y,E] = simulate(___) Tbl = simulate(Mdl,numobs,Presample=Presample) Tbl = simulate(Mdl,numobs,Presample=Presample,Name=Value) Tbl ...
The fevd function returns the forecast error decomposition (FEVD) of the variables in a VEC(p – 1) model attributable to shocks to each response variable in the system.
Model— Johansen form of VEC(p –1) model deterministic terms "H1" (default) | "H2" | "H1*" | "H*" | "H" Johansen form of the VEC(p –1) model deterministic terms [2], specified as a value in this table (for variable definitions, see Vector Error-Correction Model). ValueError...
Convert vector error-correction (VEC) model to vector autoregression (VAR) model collapse all in page Syntax VARMdl = varm(Mdl) Description VARMdl= varm(Mdl)converts the VEC(p– 1) modelMdlto its equivalent VAR(p) model representationVARMdl. ...
Vector error correction model in explaining the association of some. 1-9.Andrei, D.M., Andrei, L.C. (2015), Vector error correction model in explaining the association of some macroeconomic variables in Romania. Procedia Economics and Finance, 22, 568-576....
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