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How can I apply a wald-test to a two-sample seemingly unrelated regression (SUR) var model?

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Cilian Timo Harmsen
Cilian Timo Harmsen 2020 年 6 月 22 日
What are the correct inputs for
[h,p,Wstat,crit] = waldtest(r,R,V)
if I want to test for the significance of the (a) average event dummy or (b) specific event dummy in the following SUR?
How do I receive V (covariance matrix) correctly?
%SUR
%Number of response series
n = 2;
%Regressand
Y = [H_Excess E_Excess];
Y = rmmissing(Y);
%Regressor
X = [Index_Excess D1 D2 D3];
X = rmmissing(X);
[EstMdl1,~,~,E] = estimate(varm(n,0),Y,'X',X);
summarize(EstMdl1)
I tried to create a coefficient matrix by
Coeff = ([ones(T,1) X] \ Y);
and select r / R as
r = Coeff(:,3)
R = [0 0 1 0 0; 0 0 1 0 0]
However, it shows that index in position 2 exceeds array bounds for r.
In other trys, R was not a sufficient p*q matrix.

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