MATLAB: Is there an example on creating and fitting VARMAX models with exogenous inputs in Econometrics Toolbox 1.3 (R2010a)

Question

I am trying to use a VARMAX model with exogenous inputs. I could not find any examples in MATLAB documentation for this. I did see the following page on including exogenous data:

 <http://www.mathworks.com/help/releases/R2011a/toolbox/econ/vgxqual.html>

This gives more information on how to include exogenous data into VARMAX models. But a sample code on creating such a model is not given.

Answer 1

The attached MATLAB file shows an small example on handling trends in a VARMAX/VARX model. It also shows how to set up a model, to simulate, to estimate, and to forecast with exogenous inputs.

The MATLAB file also highlights difference between a "true" VARMAX model and an estimated VARX model.