Calibrate VARMA Model using Econometrics Toolbox
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Hi,
I try to estimate a VARMA model of which I dont know the parameter values using the function vgxvarx. First I specified the model as follows:
Spec2 = vgxset('n', 3, 'nAR', lagnum, 'nMA', lagnum2, 'Constant',true);
When trying to calibrate it
[EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(Spec2, p_all, 'IgnoreMA', 'yes');
I get the following error message:
*Error using vgxvarx (line 339) Specification includes a moving average component. Set 'IgnoreMA' to 'yes' to continue.
Error in ADF_test (line 69) [EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(Spec2, p_all, 'IgnoreMA', 'yes');*
I already set 'IgnoreMA' to 'yes'.
Finally I tried to convert it to a VAR model using vgxar.
SpecAR=vgxar(Spec2);
Followed by
[EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(SpecAR, p_all);
Whereby I get the following error message * Error using vgxvarx (line 288) Response data and specification structure have different dimensions.
Error in ADF_test (line 70) [EstSpec2,EstStdErrors2,LLF2,W2] = vgxvarx(SpecAR, p_all);*
What am I doing wrong? And when I get to estimate the VAR components, how do I proceed in order to estimate the missing VMA components?
Thanks a lot for your advices!
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