how to do vector autoregresion?
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Hi all! Well I want to use vector autoregressive model for my case but I do not know exactly which functions should I use. Any idea would be a great help for me.
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Roger Wohlwend
2014-9-18
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If you possess the Econometrics toolbox then the main function is vgxvarx . There is extensive documention in Matlab help about vector autoregressive models. It will tell you what other functions you will need for estimating and assessing the quality of the models.
If do not have Econometrics toolbox then you have to estimate the models with OLS regression yourself.
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