Restrict the range of coefficients in varm function
2 visualizzazioni (ultimi 30 giorni)
Mostra commenti meno recenti
I was trying to run a VAR model, with restrictions on the coefficients that it cannot be negative. For example, in
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/1332640/image.png)
I want all the
.
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/1332645/image.png)
Is there a way to implement such constraint in the function varm() or estimate() in the econometrics toolbox? Thanks!
0 Commenti
Risposte (1)
Rijuta
il 21 Apr 2023
Hi,
I understand that you are the econometrics toolbox in MATLAB to provide built-in support for imposing constraints on coefficients, such as non-negativity constraints, in the ‘varm’ or ‘estimate’ functions for fitting vector autoregressive (VAR) models.
Unfortunately, this is currently not possible in MATLAB. However, if possible, you can implement such constraints (coefficient > 0) on your own by modifying the estimated coefficients after estimating the VAR model using the econometrics toolbox.
0 Commenti
Vedere anche
Categorie
Scopri di più su Vector Autoregression Models in Help Center e File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!