Vector Autoregressive (VAR) - Inconsistency With Documentation
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Dear All,
According to varm documentation,
"The innovations covariance matrix Covariance cannot contain a mix of NaN values and real numbers; you must fully specify the covariance or it must be completely unknown (NaN(NumSeries))."
The given example in this doc is:
"Example: 'Covariance',eye(2)"
I have a problem in specifying Covariance matrix just as the example:
y1 = randn(100, 1);
y2 = 2*y1 + randn(100, 1);
Y = [y1, y2];
ar_1 = nan(2);
mdl = varm('Lags', 1, 'AR', {ar_1}, 'Covariance', eye(2));
est_mdl = estimate(mdl, Y);
The raised error is:
Error using varm/estimate (line 385)
Covariance matrix of innovations must contain no restrictions.
I'm using MATLAB R2019a
3 个评论
Viktoriya Glushko
2020-8-19
Hello, I have run into a similar problem and was wondering if you managed to solve yours? If yes, could you share what the solution was please? Many thanks. Viktoriya
Dana
2020-8-19
I just ran OP's code snippet and didn't get any errors. Can you explain exactly what you're doing and where the error is showing up?
ali shirali
2020-8-19
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2020-3-8
2020-8-19
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