Usage: |
{ xorigau,yorig }= xorigex(xraw,xresid,lags,volat)
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Input: |
| xraw | n x 1 matrix, the observed time series
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| xresid | (nr x 1) vector of residuals for selecting lags
of conditional volatility function; if not needed
set xresid = 0
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| lags | (d x 1) vector of lags to be considered
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| volat | "no": lag selection for conditional mean function;
"resid": lag selection for conditional volatility function,
the residuals of fitting a conditional mean
function have to be contained in xresid
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Output: |
| xorigau | ((t-max(lags)+min(lags)) x d) matrix of regression values
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| yorig | ((t-max(lags)) x 1) matrix of dependent variable
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