using"filter" - error message for inputs 'Y0'
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Hello,
I am using the function filter to estimate portfolio returns. I get the following message when the code has to execute the function filter:
" 'Y0' is not a recognized parameter. For a list of valid name-value pair arguments, see the documentation for this function."
the code is the following:
portfolioReturns = filter(fit, bootstrappedResiduals,'V0', preSigma, 'Y0', preReturn, 'Z0', preResidual);
I have estimated a garch model with "estimate" at the beginning of the code.
Why do I get this type of error if in the documentation the input 'Y0' is reported. If I remove that input, all else equal, I get no error.
Any help?
Thanks
5 件のコメント
Adam
2016 年 7 月 13 日
編集済み: Adam
2016 年 7 月 13 日
Looking at the help page of the actual function:
'Y0' is not listed as a valid argument so I assume the example you are looking at is outdated.
I don't have the Econometrics Toolbox myself so I can't really judge any further what is going on beyond that.
回答 (2 件)
Hang Qian
2016 年 8 月 19 日
The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I guess that the FILTER function might be altered, say someone wants to customize the codes and overloads the internal function.
- Hang Qian
0 件のコメント
Walter Roberson
2016 年 8 月 19 日
The filter method of GARCH does not have a name-value pair for Y0. The filter method of arima does have a name-value pair for Y0
1 件のコメント
Hang Qian
2016 年 8 月 19 日
Oh yes, you are right. The model constructed in the demo is an ARIMA model with an EGARCH variance. So it has the name-value pair Y0. It should work in all versions of MATLAB as long as ARIMA functionalities were born.
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