AR terms in SUR models

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James Grayot 2017-4-9

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/334465-ar-terms-in-sur-models

编辑： James Grayot 2017-4-9

I am trying to estimate a SUR model of the form

y_{1,t} = \alpha_1 +\beta_1 x_{1,t} + \beta_2 x_{2,t} + \beta_3 y_{1,t-1} +\epsilon_{1,t}

y_{2,t} = \alpha_2 +\beta_4 x_{1,t} + \beta_5 x_{2,t} + \beta_6 y_{2,t-1} +\epsilon_{2,t}

Define mY = [y_1 y_2] and mX = [x_1 x_2].

For this purpose I am doing

iT = size(mY,1); iN = size(mY,2);

mXsur = kron(mX, eye(iN));

mXsurCell = mat2cell(mXsur, iN*ones(iT,1));

iR = size(mXsur,2);

Mdl = vgxset('n', iN, 'nAR',1, 'nX',iR,'Constant',true);

[SurOutput, SurSDerror, ~,SURcov] = vgxvarx(Mdl, mY, mXsurCell);

The issue is that the bit of code 'nAR', 1 seems to add 1 lag of both y variables to each equation and I only wish to add one per equation. Is there a quick way to do this?

(Of course I can include the lagged terms manually in the mX matrix, but my question is whether we can do this via vgxset in a quicker way. I think not based on my reading of the help file, but still want to double check). Thanks