How to estimate conditional Vector autoregression matlab

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ABDULAZIZ ALTUN
ABDULAZIZ ALTUN 2020 年 4 月 10 日
編集済み: ABDULAZIZ ALTUN 2020 年 4 月 10 日
I know that there is a way to generate a var model and to estimate a var model in matlab. It is mainly using built in function varm. However, I want to fit a model such as the significant parameters are to stay an the rest to be zero such as constraint var model.
Can we do so in matlab?
This can be done in R using the following
% Estimate the var model of order one as may be observed from the AIC
t=VAR(y, p=1, type="const")
summary(t)
t1=restrict(t, method = "ser", thresh = 2.0, resmat = NULL)
summary(t1)

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