Hi Lisa,
The parameter covariance matrix is not an output variable of VGXVARX, while the standard errors are returned as the second output argument. The parameter covariance matrix is indeed computed inside VGXVARX using the expected Hessian variance-covariance matrix.
There is a simple way that you may retrieve the covariance matrix.
In the command window, type: edit vgxvarx
Then save a copy of the function in a folder that MATLAB can recognize, say the current directory. It is up to you whether to rename it or not.
Replace the first line [EstSpec,EstSE,logL,W] = vgxvarx(Spec,Y,X,Y0,varargin) by an additional output argument “xvar”:
[EstSpec,EstSE,logL,W,xvar] = vgxvarx(Spec,Y,X,Y0,varargin)
The last output argument is the estimated parameter covariance matrix. It does not change anything inside VGXVARX, but just requests the function to return the intermediate variable xvar, as you might need it for hypothesis testing.
Thank you.
Hang Qian
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