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发帖数: 3979 | 1 Suppose I have a VAR model:
X_t = A * X_(t-1) + B * Y_t,
And I need to estimate the coefficient matrix A & B?
What's the best way to do if A is 3X3 matrix, and B is a 3X5 matrix?
I have only used gradient based method for simpler problems before. For as
many as 3X8 = 24 parameters, should the gradient method works well if I just
use a matlab unction fminunc?
Or, should I estimate A & B separately?
Thanks for your input. |
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