Estimate the parameters of an ARX model using the instrumental variable (IV) method with arbitrary instruments.
Syntax
th = ivx(z,nn,x)
th = ivx(z,nn,x,maxsize,T)
Description
ivx is a routine analogous to the iv4 routine, except that you can use arbitrary instruments. These are contained in the matrix x. Make this the same size as the output, i.e., the first column(s) of z. The instruments used are then analogous to the regression vector itself, except that y is replaced by x.
Note that ivx does not return any estimated covariance matrix for th, since that requires additional information.
Use iv4 as the basic IV routine for ARX model structures. The main interest in ivx lies in its use for nonstandard situations; for example when there is feedback present in the data, or when other instruments need to be tried out. Note that there is also an IV version that automatically generates instruments from certain filters you define (type help iv).
See Also
iv4, ivar
References
Ljung (1987), page 198.
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