Article From: Department of Economics
Subject: YWP.PRC

Posted by: Information Provider
Phone Number: (202) 885-3770
E-Mail Address: econ@american.edu

Post Date: 23 Sep 1994
Expiration Date: 23 Oct 2004


               YWP.PRC (Ogaki)

@ YWP.PRC @

@------------------------------------------------------------------------------
 Written by: Masao Ogaki
             Department of Economics, University of Chicago

 Last Revision:  09/17/87
------------------------------------------------------------------------------@
/*
This procedure solves the Yule Walker equations for autoregression
coefficients given autocovariances using partitioned inverse procedure
"PARTINV.PRC"

Model: x(t)=A1*x(t-1)+A2*x(t-2)+...+Ap*x(t-p)+e(t)

     x(t): n by 1 vector
     R(k)=E[x(t)x(t-k)']
Input: r=[R(0),R(1),...,R(p)]: n by n*(p+1) matrix

Output: A=[A1,A2,...,Ap] n by n*p matrix

Syntax: A=yw(r);
*/
proc yw(r);
local n,m,b0;
n=rows(r);
m=cols(r);
b0=partinv(r[.,1:m-n]);
retp(r[.,(n+1):m]*b0);
endp;

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