How to estimate Vector Auto-regressive Model
显示 更早的评论
Hi All,
I want to estimate Vector Autoregressive model for company and market returns using OLS regression.
Any leads will be highly appreciated.
Regards
回答（1 个）
Chidvi Modala
2019-8-27
1 个投票
estimate performs parameter estimation for Vector Autoregression Models. It finds maximum likelihood estimates of the parameters present in the model. You can set the maximum number of iterations with the ‘MaxIterations’ name-value pair argument of estimate, which has a default value of 1000. For ordinary least-squares (OLS) estimates of the parameters, set 'MaxIterations' to 1.
For definitions of these terms and other model definitions, you can refer to Types of Multivariate Time Series Models.
类别
在 帮助中心 和 File Exchange 中查找有关 Conditional Mean Models 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
