www.gusucode.com > econ 案例源码程序 matlab代码 > econ/FitAVARModelExample.m

    %% Fit a VAR Model
% This example uses two series: the consumer price index (CPI) and the
% unemployment rate (UNRATE) from the data set |Data_USEconmodel|.
%%
% Obtain the two time series, and convert them for stationarity:

% Copyright 2015 The MathWorks, Inc.

load Data_USEconModel
cpi = DataTable.CPIAUCSL;
cpi = log(cpi);
dCPI = diff(cpi);
unem = DataTable.UNRATE;
Y = [dCPI,unem(2:end)];
%%
% Create a VAR model:
Spec = vgxset('n',2,'nAR',4,'Constant',true)
%%
% Fit the model to the data using |vgxvarx|:
[EstSpec,EstStdErrors,logL,W] = vgxvarx(Spec,Y);
vgxdisp(EstSpec)