Why does gctest fail when using discontinuous lags?

조회 수: 1 (최근 30일)
Mark Goldsworthy
Mark Goldsworthy 2019년 6월 27일
I'm running a Granger-causality test on a varm model object. The gctest function returns an indexing error when the lags are discontinuous. For example it works when lags = 1,2,3,4. It fails when lags = 1,2,4. Below code recreates the error.
%Following Matlab gctest example
load Data_USEconModel
m1slrate = price2ret(DataTable.M1SL);
inflation = price2ret(DataTable.CPIAUCSL);
rgdprate = price2ret(DataTable.GDP./DataTable.GDPDEF);
tbl = table(m1slrate,inflation,rgdprate);
tbl = rmmissing(tbl);
T = size(tbl,1); % Total sample size
numseries = 3;
% Partition time base.
maxp = 4; % Maximum number of required presample responses
idxpre = 1:maxp;
idxest = (maxp + 1):T;
% Fit VAR models to data.
Y0 = tbl{idxpre,:}; % Presample
Y = tbl{idxest,:}; % Estimation sample
%Two different models. Second model omits lag number 3
lags1=[1:4];
lags2=[1,2,4];
coef0=nan(numseries,numseries);
numlags1=length(lags1);
numlags2=length(lags2);
for i=1:length(lags1)
coef_1{i}=coef0;
end
for i=1:length(lags2)
coef_2{i}=coef0;
end
Mdl_1 = varm('AR',coef_1,'Lags',lags1);
EstMdl_1 = estimate(Mdl_1,Y,'Y0',Y0);
gctest(EstMdl_1)
Mdl_2 = varm('AR',coef_2,'Lags',lags2);
EstMdl_2 = estimate(Mdl_2,Y,'Y0',Y0);
gctest(EstMdl_2) %gctest fails for the second model

답변 (0개)

카테고리

Help CenterFile Exchange에서 Vector Autoregression Models에 대해 자세히 알아보기

제품


릴리스

R2019a

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by