Lynch(2001): what are the "arsta", "prmat", and "mchain1"

I am reading the code of the paper "Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability" The author used the code  "arsta", "prmat", and "mchain1". I think they are no longer used in GAUSS. I want to know what can they do?

@--------------------------------------------------------------------@
@ Calculate markov chain @
@--------------------------------------------------------------------@
dumm = mchain1(auto,b,sigma,sigqd,nlag,nval,ghmat,&armean,&code,&decode,
&hzdirpr,&markstat,&pisub,&pifn,&reachrow,&setquad,
&z_to_y) ;

OUTPUT ON;

dumm = prmat(auto,"auto");
dumm = prmat(b,"b");
dumm = prmat(sigma,"sigma");

@--------------------------------------------------------------------@
@ Calculate variance/covariance matrix of stationary distribution @
@--------------------------------------------------------------------@
sigsta = arsta(auto,sigma,1);
/*multf=(((diag(sigsta)./diag(sigma)).^0.5)-1).*0.6;
sigqd=sigma+(sigma.*multf).*(multf');*/
sigqd=sigma;
sigqdinv = inv(sigqd);
detsigqd = det(sigqd);
OUTPUT ON;
dumm = prmat(sigsta[1:nvar,1:nvar],"sigsta");
print;

1 Answer

0

Hello,

The procedures you are asking about have not been a part of the base GAUSS or any released libraries. They were likely created by a GAUSS user.

Have you checked for prior code from this author or contacted the author directly?

link

Eric

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