用lingo软件如何对DEA-DA模型进行编程

50# epoh

??? Error using ==> vech
MATRIXDATA must be a symmetric matrix
Error in ==> scalar_bekk_mvgarch at 68
startingparameters=[vech(CChol);alpha0;beta0];
Error in ==> full_bekk_mvgarch at 60
startingparameters=scalar_bekk_mvgarch(data,p,q,scalaropt);
Error in ==> Untitled at 3
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,1,1);

epoh老师，您好！
我把您的命令做成untiled.m文件，然后运行，为什么会提示以上错误？得不出结果。

在命令窗口直接运行会提示以下错误：
>> load('hp_ibm.txt')
data=100*hp_ibm;
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,1,1);
??? Error using ==> vech
MATRIXDATA must be a symmetric matrix

Error in ==> scalar_bekk_mvgarch at 68
startingparameters=[vech(CChol);alpha0;beta0];

Error in ==> full_bekk_mvgarch at 59
startingparameters=scalar_bekk_mvgarch(data,p,q,scalaropt);

>>

>> load('hp_ibm.txt');
data=100*hp_ibm;
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,1,1);
parameters
??? Error using ==> vech
MATRIXDATA must be a symmetric matrix

Error in ==> scalar_bekk_mvgarch at 68
startingparameters=[vech(CChol);alpha0;beta0];

Error in ==> full_bekk_mvgarch at 59
startingparameters=scalar_bekk_mvgarch(data,p,q,scalaropt);

>>

function [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,p,q, BEKKoptions)
% PURPOSE:
%      To Estimate a full BEKK multivariate GARCH model.  ****SEE WARNING AT END OF HELP FILE****
%
%
% USAGE:
%      [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,p,q,options);
%
%
% INPUTS:
%      data          - A t by k matrix of zero mean residuals
%      p             - The lag length of the innovation process
%      q             - The lag length of the AR process
%      options       - (optional) Options for the optimization(fminunc)
%
% OUTPUTS:
%      parameters    - A (k*(k+1))/2+p*k^2+q*k^2 vector of estimated parameteters. F
%                         or any k^2 set of Innovation or AR parameters X,
%                         reshape(X,k,k) will give the correct matrix
%                         To recover C, use ivech(parmaeters(1:(k*(k+1))/2)
%      loglikelihood - The loglikelihood of the function at the optimum
%      Ht            - A k x k x t 3 dimension matrix of conditional covariances
%      likelihoods   - A t by 1 vector of individual likelihoods
%      stdresid      - A t by k matrix of multivariate standardized residuals
%      stderrors     - A numParams^2 square matrix of robust Standad Errors(A^(-1)*B*A^(-1)*t^(-1))
%      A             - The estimated inverse of the non-robust Standard errors
%      B             - The estimated covariance of teh scores
%      scores        - A t by numParams matrix of individual scores
%
%
% COMMENTS:
%    You should multiply the data by a constant so that the min std(data) is at least 10.  This will help estimation
%
%      ***************************************************************************************
%      *  THIS FUNCTION INVOLVES ESTIMATING MANY PARAMETERS.  THE EXACT NUMBER OF PARAMETERS
%      *  NEEDING TO BE ESTIMATED IS (k*(k+1))/2+pk^2+qk^2.  FOR A 5 VARIATE (1,1) MODEL THIS
%      *  65 PARAMETERS.  ESTIMATION CAN TAKE A VERY LONG TIME.  A 10 ASSET MODEL TOOK 12
%      *  HOURS ON A PIII-700.
%      ***************************************************************************************
%
%
% Author: Kevin Sheppard
% kevin.sheppard@economics.ox.ac.uk
% Revision: 2    Date: 12/31/2001

load('hp_ibm.txt');
data=100*hp_ibm;
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,1,1);
parameters



% need to try and get some smart startgin values


??? Maximum recursion limit of 500 reached. Use set(0,'RecursionLimit',N)
to change the limit.  Be aware that exceeding your available stack space can
crash MATLAB and/or your computer.

Error in ==> full_bekk_mvgarch at 49
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,1,1);

>>

如果加在程序中，会提示以上错误。

请注意:
matlab function 的内容,切勿任意更改
譬如function full_bekk_mvgarch()
内容,参数名,不能随意更改
所以你在full_bekk_mvgarch()
加了
  p=6;
  q=6;
这是不对的!
data 也不能改为data.txt
function [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data.txt,p,q, BEKKoptions)

只要恢复原始的full_bekk_mvgarch()即可.


%%%%%%%%%%%%%
%%in command window
load('hp_ibm.txt')
data=100*hp_ibm;
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,1,1);

%% or
Untitled


%%%%%%%%%%
%%%%%%%%%%
diagonal_bekk

%%%in matlab
load('hp_ibm.txt')
data=100*hp_ibm;
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores] = diagonal_bekk_mvgarch(data,1,1);
parameters
parameters =
    0.5193
    0.3217
    0.4065
    0.2106
    0.3349
    0.9491
    0.8665

%%%%%%%%%

in E-views

Convergence achieved after 39 iterations   
   
                   Coefficient Std. Error z-Statistic Prob.  
   
OMEGA(1)     0.518868 0.043023 12.06025 0.0000
BETA(1)         0.949176 0.006293 150.8325 0.0000
ALPHA(1)       0.210438 0.012218 17.22400 0.0000
OMEGA(3)     0.406375 0.023036 17.64115 0.0000
OMEGA(2)     0.321527 0.041833 7.685968 0.0000
BETA(2)         0.866632 0.014308 60.56796 0.0000
ALPHA(2)       0.334758 0.008604 38.90611 0.0000

eviews_hp_ibm_diag_bekk
   eviews_hp_ibm.rar (23.83 KB)

2011-7-20 16:08:23 上传

55# epoh

我就是按您的指导做的，还是提示以下错误，我估计我用的matlab7版本太低，
所以会提示错误。

>> load('hp_ibm.txt')
data=100*hp_ibm;
[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,1,1);
??? Error using ==> vech
MATRIXDATA must be a symmetric matrix
Error in ==> scalar_bekk_mvgarch at 68
startingparameters=[vech(CChol);alpha0;beta0];
Error in ==> full_bekk_mvgarch at 59
startingparameters=scalar_bekk_mvgarch(data,p,q,scalaropt);

pls try diagonal_bekk_mvgarch()

epoh老师，您用的是diagonal_bekk_mvgarch.m文件，
我传上去的是full_bekk_mvgarch.m文件，我们用的不是同一个文件，
所以会产生以上错误，是不是这个原因呢？

Undefined symbols:
    _mlhsvcp                           C:\MGARCH\MGARCH.GS(512)
还想您请教一个问题：附件中的gauss 程序运行时为什么会提示以上问题？

MGARCH.GS的确存在一些问题

不过我想先了解一下
你不会单独只用full_bekk_mvgarch.m 一个file 吧
应该有装jplv7 toolbox
或最起码装上 Ucsd_garch toolbox 吧

如果都有装上
而存在问题的话,我再帮你想办法.设置startingparameters