ExogenousVariables: ISlSerie;
The ExogenousVariables property returns a collection of exogenous variables.
Sub Main;
Var
y1, y2, x: Array[43] Of Double;
i, j, k, status: Integer;
d: Double;
VarModel: ISmVectorAutoRegress;
Eqs: ISlEquations;
Eq: ISlEquation;
ARO: Array[2] Of Integer;
Begin
// y1, y2 and x array values
y1[00] := 6209; y2[00] := 4110; x[00] := 3415;
y1[01] := 6385; y2[01] := 4280; x[01] := 3673;
y1[02] := 6752; y2[02] := 4459; x[02] := 4013;
y1[03] := 6837; y2[03] := 4545; x[03] := 4278;
y1[04] := 6495; y2[04] := 4664; x[04] := 4577;
y1[05] := 6907; y2[05] := 4861; x[05] := 5135;
y1[06] := 7349; y2[06] := 5195; x[06] := 5388;
y1[07] := 7213; y2[07] := 5389; x[07] := 5610;
y1[08] := 7061; y2[08] := 5463; x[08] := 5787;
y1[09] := 7180; y2[09] := 5610; x[09] := 6181;
y1[10] := 7132; y2[10] := 5948; x[10] := 6633;
y1[11] := 7137; y2[11] := 6218; x[11] := 6910;
y1[12] := 7473; y2[12] := 6521; x[12] := 7146;
y1[13] := 7722; y2[13] := 6788; x[13] := 7248;
y1[14] := 8088; y2[14] := 7222; x[14] := 7689;
y1[15] := 8516; y2[15] := 7486; x[15] := 8046;
y1[16] := 8941; y2[16] := 7832; x[16] := 8143;
y1[17] := 9064; y2[17] := 8153; x[17] := 8064;
y1[18] := 9380; y2[18] := 8468; x[18] := 8556;
y1[19] := 9746; y2[19] := 9054; x[19] := 9177;
y1[20] := 9907; y2[20] := 9499; x[20] := 9705;
y1[21] := 10333; y2[21] := 9866; x[21] := 9923;
y1[22] := 10863; y2[22] := 10217; x[22] := 10268;
y1[23] := 11693; y2[23] := 10763; x[23] := 10681;
y1[24] := 12242; y2[24] := 10683; x[24] := 10448;
y1[25] := 12227; y2[25] := 10494; x[25] := 10366;
y1[26] := 12910; y2[26] := 10938; x[26] := 10958;
y1[27] := 13049; y2[27] := 11198; x[27] := 11292;
y1[28] := 13384; y2[28] := 11546; x[28] := 11726;
y1[29] := 14036; y2[29] := 11865; x[29] := 12172;
y1[30] := 14242; y2[30] := 11781; x[30] := 12058;
y1[31] := 14704; y2[31] := 11681; x[31] := 11804;
y1[32] := 13802; y2[32] := 11903; x[32] := 11682;
y1[33] := 14197; y2[33] := 11900; x[33] := 12001;
y1[34] := 15010; y2[34] := 11986; x[34] := 12300;
y1[35] := 15589; y2[35] := 12206; x[35] := 12535;
y1[36] := 15932; y2[36] := 12734; x[36] := 13173;
y1[37] := 16631; y2[37] := 12990; x[37] := 13482;
y1[38] := 17394; y2[38] := 13516; x[38] := 13945;
y1[39] := 17758; y2[39] := 13866; x[39] := 14278;
y1[40] := 17308; y2[40] := 14141; x[40] := 14840;
y1[41] := 16444; y2[41] := 14141; x[41] := 15263;
y1[42] := 16413; y2[42] := 14237; x[42] := 15357;
ARO[0] := 1;
ARO[1] := 2;
VarModel := New SmVectorAutoRegress.Create;
Eqs := VarModel.Equations;
Eq := Eqs.Add;
Eq.Serie.Value := y1;
Eq.AutoRegressionOrder := ARO;
Eq.Forecast.LastPoint := 43;
Eq.Intercept.Mode := InterceptMode.AutoEstimate;
Eq.ExogenousVariables.Add.Value := x;
Eq := Eqs.Add;
Eq.Serie.Value := y2;
Eq.AutoRegressionOrder := ARO;
Eq.Forecast.LastPoint := 43;
Eq.Intercept.Mode := InterceptMode.AutoEstimate;
Eq.ExogenousVariables.Add.Value := x;
VarModel.ModelPeriod.FirstPoint := 1;
VarModel.ModelPeriod.LastPoint := 40;
status := VarModel.Execute;
If status <> 0 Then
Debug.WriteLine(VarModel.Errors);
Else
For i := 0 To VarModel.Equations.Count-1 Do//by equations
Debug.Write(i.ToString + ": ");
For j := 0 To VarModel.Equations.Item(i).AutoRegressionOrder.Length-1 Do//by lags
For k := 0 To VarModel.Equations.Count-1 Do//by variables
d := VarModel.Equations.Item(i).EndogenousCoefficients.Estimate[j+k*VarModel.Equations.Count];
Debug.Write(d.ToString + ", ");
End For;
End For;
Debug.WriteLine(" ");
End For;
End If;
End Sub Main;
After executing the example the console window displays endogenous variables' coefficients for each available vector autoregression equation:
Module execution started
0: 0.88481129528505686, 0.30482136874105753, 0.033467510778999468, -0.23063054044359327,
1: 0.056999429745840352, 0.84730493604686152, -0.10279074301238447, -0.071327639508134991,
Module execution finished
See also: