Vector auto regressive (VAR) model with 2 endogeneous variables to V(AR) model with one endogenous variable
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Hi Guys,
I'm trying to apply my data to a study and I use matlab to resolve my problem. The thing is that I want to transfer the original VAR model with two endogeneous variables to a VAR or AR model with only one endogeneous variable.
My code looks like this:
function [R_e, dp] = varmom(M,T,r_f);
epsilon = zeros(M,T,2);
r = zeros(M,T);
for m=1:M
epsilon(m,:) = mvnrnd([0;0], [0.006,-0.0051;-0.0051,0.0049],T);
end
for m=1:M
dp0=-0.155/(1-0.958);
r(m,1) = 0.737767+0.060*dp0 + epsilon(m,1,1);
dp(m,1)=-0.155+0.958*dp0 + epsilon(m,1,2);
for i = 1:T-1
r(m,i+1) = 0.227+0.060*dp(m,i) + epsilon(m,i+1,1);
dp(m,i+1) = -0.155+0.958*dp(m,i) + epsilon(m,i+1,2);
end
end
%create excess return out of log excess return
R_e = r_f*exp(r)-r_f;
disp('Excess return created out of log excess return')
But I want to go back to a VAR model which only contains this output the UMD factor.
How to reduce my code and what variables to change if I only use UMD?
Thanks in advance
Kevin
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