Error when estimating a VAR on log data (infinite values) in Matlab

Question

Carl Kier 2022-5-23

0
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/1725455-error-when-estimating-a-var-on-log-data-infinite-values-in-matlab

回答： Carl Kier 2022-5-23

When trying to use the estimate command (https://se.mathworks.com/help/econ/varm.estimate.html) to estimate a VAR using log data. This error does not occur when i use this command on data that has not been log transformed. The specific error message i get is the following:

Error using statcheckmvnr (line 65)

One or more infinite values found in Y.

Error in mvregress (line 251)

statcheckmvnr(Data, Design, Param0, Covar0, isequal(EstMethod,3));

Error in varm/estimate (line 429)

sigma(solve,solve), logL] = mvregress(D, R, 'covtype' , 'full' , 'varformat',

'beta' , ...

Can anyone help me understand why this is happening or how to solve it? I don't see why taking logs to a dataset should result in this. The specific code that results in this is the following (not that there is much to it, as i'm simply estimating a var on a section of a dataset):

EstMdl_e = estimate(var,zest_e);