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vgxar

(To be removed) Convert VARMA model to VAR model

vgxar has been removed. Use arma2ar instead.

Syntax

SpecAR = vgxar(Spec)
SpecAR = vgxar(Spec,nAR,ARlag,Cutoff)

Description

vgxar converts a VARMA model into a pure vector autoregressive (VAR) model. This function works only for VARMA models and does not handle exogenous variables (VARMAX models).

Required Input Argument

Spec

A multivariate time series specification structure for an n-dimensional VARMA time series process, as created by vgxset.

Optional Input Arguments

nAR

Number of AR lags for the output specification structure. vgxar truncates an infinite-order VAR model to nAR lags. If specific AR lags are not given by ARlag, the lags are 1:nAR. To use ARlag, set nAR to [] or to the number of specific lags.

ARlag

A positive integer vector of specific AR lags for the output specification structure. ARlag must be of length nAR, unless nAR is [].

Cutoff

The cutoff for the infinity norm below which trailing lags are removed. The default is 0, which does not remove any lags and uses the values for nAR and ARlag.

If neither nAR nor ARlag is specified, vgxar uses the maximum lags of the AR or MA lags of the input Spec.

Note

If a large number of lags is needed to form a pure VAR representation (with unit roots close to 1), a large number of initial values is also needed for propagation.

Output Arguments

SpecAR

A transformed multivariate time series specification structure that consists of a pure vector autoregressive (VAR) model with nAR lags. Logical indicators for model parameter estimation (“solve” information) in Spec are not passed on to SpecAR.

See Also

Introduced in R2008b