www.gusucode.com > econ 案例源码程序 matlab代码 > econ/ConvertAVARMAModelToAVARModelShortExample.m
%% Convert a VARMA Model to a VAR Model % This example creates a VARMA model, then converts it to a pure VAR model. %% % Create a VARMA model specification structure. % Copyright 2015 The MathWorks, Inc. A1 = [.2 -.1 0;.1 .2 .05;0 .1 .3]; A2 = [.3 0 0;.1 .4 .1;0 0 .2]; A3 = [.4 .1 -.1;.2 -.5 0;.05 .05 .2]; MA1 = .2*eye(3); MA2 = [.3 .2 .1;.2 .4 0;.1 0 .5]; Spec = vgxset('AR',{A1,A2,A3},'MA',{MA1,MA2}) %% % Convert the structure to a pure VAR structure: SpecAR = vgxar(Spec) %% % The converted process is unstable; see the AR row. An unstable model % could yield inaccurate predictions. Taking more terms in the series gives % a stable model: specAR4 = vgxar(Spec,4)