scstd.m

来自「计量工具箱」· M 代码 · 共 34 行

function scale = scstd(y,nobs,nlag)
% PURPOSE: determines bvar() function scaling factor using a
%          univariate AR model (called by bvar() only)
%---------------------------------------------------
% USAGE:   scale = scstd(y,nobs,nlag)
% where:    y    = an (nobs x neqs) matrix of y-vectors in levels
%           nlag = the lag length
%           nobs = # of observations in y
%---------------------------------------------------
% RETURNS:
%  scale = std deviation of the residuals 
%---------------------------------------------------

% written by:
% James P. LeSage, Dept of Economics
% University of Toledo
% 2801 W. Bancroft St,
% Toledo, OH 43606
% [e-mail]

ylag = mlag(y,nlag);
ylag = [ylag ones(nobs,1)];

% truncate to feed the lag
xmat = ylag(nlag+1:nobs,:);
yvec = y(nlag+1:nobs,1);
n = length(yvec);

b = inv(xmat'*xmat)*xmat'*yvec;
e = yvec - xmat*b;
sige = (e'*e)/(n-2);
sige = sige/(nobs-nlag);

scale = sqrt(sige);