Please expalin the error

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dav
dav am 20 Aug. 2013
Hi,
I am using the following code to estimate parameters of an ARCH(1) model.
However, I am getting the given error.
Is there any way to correct it please?
Code:
clc;
clear;
p=1;
T = 1000;
a0 = 0.1; a1 = 0.4;
ra = zeros(T+2000,1);
seed=123;
rng(seed);
%ra = randn(T+2000,1);
ra = trnd(5,T+2000,1);
epsi=zeros(T+2000,1);
simsig=zeros(T+2000,1);
unvar = a0/(1-a1);
for i = 1:T+2000
if (i==1)
simsig(i) = unvar;
s=(simsig(i))^0.5;
epsi(i) = ra(i) * s;
else
simsig(i) = a0+ a1*(epsi(i-1))^2;
s=(simsig(i))^0.5;
epsi(i) = ra(i)* s;
end
end
epsi2 = epsi.^2;
yt = epsi2(2001:T+2000);
model = arima(1,0,0);
model.Constant = 0 ;
fit = estimate( model,yt);
Error:
Undefined function 'arima' for input arguments of type 'double'.
Error in test (line 41)
model = arima(1,0,0);

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Akzeptierte Antwort

Walter Roberson
Walter Roberson am 20 Aug. 2013
  1. you might not have the econ toolbox installed
  2. you might not have the econ toolbox licensed
  3. you might be using a version of MATLAB older than when the arima function was first implemented
  4. you might have a broken MATLAB path that does not include the econ toolbox
  2 Kommentare
dav
dav am 20 Aug. 2013
Thank you very much. I s there a way to check if I have the econ toolbox?
Im using matlab 2012a
Walter Roberson
Walter Roberson am 20 Aug. 2013
At the MATLAB command prompt, give the command
ver
and see if econ is listed. If it is, check license issues by using
which -all arima
arima() did exist in the Econometrics toolbox for R2012a. Additional arima functionality was added in R2012b and R2013a, but that would not affect the existence of arima() itself.

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