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Fixed ordering of variables in error correction term of PAC equation
PAC equation has to be written as diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...; In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference between the target (the trend xstar(-1)) and the level of the endogenous variable (x(-1)). To ensure stability around the trend, the parameter a0 needs to be positive. REMARKS [1] In the TREND_COMPONENT_MODEL the error correction terms are written in reverse order, ie as the difference betwwen the level of the endogenous variable and the trend variable. [2] In the estimation routine we do not constrain a0 to be positive, but is would surely help to satisfy this condition in the initial condition.
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- matlab/+pac/+estimate/iterative_ols.m 10 additions, 1 deletionmatlab/+pac/+estimate/iterative_ols.m
- matlab/+pac/+estimate/nls.m 7 additions, 0 deletionsmatlab/+pac/+estimate/nls.m
- matlab/+pac/+update/parameters.m 3 additions, 6 deletionsmatlab/+pac/+update/parameters.m
- preprocessor 1 addition, 1 deletionpreprocessor
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