dse (version 2003.6-1)

markovParms: Markov Parameters

Description

Construct a Matrix of the Markov Parameters

Usage

markovParms(model, blocks=NULL)

Arguments

model

An ARMA or SS TSmodel.

blocks

Number of blocks to calculate.

Value

• A matrix

Details

Construct a matrix with partitions [M0|...|Mi] giving the Markov parameters Mi, i+1 = blocks where each Mi is a p by (m+p) matrix, (m is the dimension of the exogeneous series and p is the dimension of endogeneous series) ie. y(t) = e(t) + M [u'(t)|y'(t-1) | u'(t-1)|y'(t-2)]' This requires that models be transformed so that lagged endogeneous variables are inputs. See Mittnik p1190. If blocks=NULL (the default) then at least 3 blocks are generated, and up to n+1, but the series is truncated if the blocks are effectively zero. This will affect the size of the Hankel matrix.

References

S.Mittnik (1989), Multivariate Time Series Analysis With State Space Models, Computers Math Appl. Vol 17, No 8/9, pp1189-1201. S.Mittnik (1990), Macroeconomic Forecasting Experience With Balance State Space Models, International Journal Of Forecasting, Vol 6, pp337-348. S.Mittnik (1990), Forecasting With Balanced State Space Representations of Multivariate Distributed Lag Models. J. of Forecasting, Vol.9, 207-218.

See Also

SVDbalanceMittnik

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
    model <- estVARXls(eg1.DSE.data.diff)
    markovParms(model)