ISlEquation.ExogenousVariables

Syntax

ExogenousVariables: ISlSerie;

Description

The ExogenousVariables property returns a collection of exogenous variables.

Example

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;

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