www.gusucode.com > econ 案例源码程序 matlab代码 > econ/EstimateParametersofaRegressionModelwithARIMAErrorsUsingExample.m
%% Estimate Parameters of a Regression Model with ARIMA Errors Using Initial Values % Fit a regression model with ARMA(1,1) errors by regressing the log GDP % onto the CPI and using initial values. % Copyright 2015 The MathWorks, Inc. %% % Load the US Macroeconomic data set and preprocess the data. load Data_USEconModel; logGDP = log(DataTable.GDP); dlogGDP = diff(logGDP); % For stationarity dCPI = diff(DataTable.CPIAUCSL); % For stationarity T = length(dlogGDP); % Effective sample size %% % Specify an "empty" regression model with ARMA(1,1) errors. ToEstMdl = regARIMA(1,0,1); %% % Fit the model to the first half of the data. EstMdl0 = estimate(ToEstMdl,dlogGDP(1:ceil(T/2)),... 'X',dCPI(1:ceil(T/2)),'Display','off'); %% % The result is a new |regARIMA| model with the estimated parameters. %% % Use the estimated parameters as initial values for fitting the second % half of the data. Intercept0 = EstMdl0.Intercept; AR0 = EstMdl0.AR{1}; MA0 = EstMdl0.MA{1}; Variance0 = EstMdl0.Variance; Beta0 = EstMdl0.Beta; [EstMdl,~,~,info] = estimate(ToEstMdl,... dlogGDP(floor(T/2)+1:end),'X',... dCPI(floor(T/2)+1:end),'Display','params',... 'Intercept0',Intercept0,'AR0',AR0,'MA0',MA0,... 'Variance0',Variance0,'Beta0',Beta0); %% % Display all of the parameter estimates using |info.X|. info.X %% % The order of the parameter estimates in |info.X| matches the order that % |estimate| displays in its output table.