ECONOMETRIC METHODS II TA session 1 MATLAB Intro ...
ECONOMETRIC METHODS II TA session 1 MATLAB Intro ...
ECONOMETRIC METHODS II TA session 1 MATLAB Intro ...
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<strong>ECONOMETRIC</strong> <strong>METHODS</strong> <strong>II</strong> <strong>TA</strong> Session 1<br />
Figure 3.1: Simulated Data<br />
Next step is to generate the companion form (2:2) and check for stationarity given the<br />
parameter values:<br />
F1=[A_coeff(:,2:end)];<br />
Q1=Sigma_U;<br />
if p>1<br />
% Matrix F - [H,10.1.10]<br />
F2=cell(1,p-1);<br />
[F2{:}]=deal(sparse(eye(K)));<br />
F2=blkdiag(F2{:});<br />
F2=full(F2);<br />
F3=zeros(K*(p-1),K);<br />
F=[F1;F2,F3];<br />
% Var_cov Q - [H,10.1.11]<br />
Q2=cell(1,p-1);<br />
[Q2{:}]=deal(sparse(zeros(K,K)));<br />
Q2=blkdiag(Q2{:});<br />
Fernando Pérez Forero 6