code for first three stages in the iv4 algo

1 files changed, 20 insertions, 0 deletions

diff --git a/R/iv.R b/R/iv.R
index 9257766..8cf70c6 100644
--- a/R/iv.R
+++ b/R/iv.R
@@ -46,4 +46,24 @@ iv <- function(z,order=c(0,1,0),x=NULL){
   estpoly(sys = model,
           stats=list(vcov = vcov, sigma = sqrt(sigma2),df = df),
           fitted.values=ypred,residuals=e,call=match.call(),input=u)
+}
+
+#' @export
+iv4 <- function(z,order=c(0,1,0)){
+  y <- outputData(z); u <- inputData(z); N <- dim(y)[1]
+  na <- order[1];nb <- order[2]; nk <- order[3]
+  nb1 <- nb+nk-1 ; n <- max(na,nb1); df <- N-na-nb
+  
+  # Steps 1-2
+  mod_iv1 <- iv(z,order)
+  A <- signal::Ma(c(1,mod_iv1$sys$A))
+  B <- signal::Ma(c(rep(0,nk),mod_iv1$sys$B))
+  
+  # Step 3 (AR Modeling)
+  w <- matrix(as.numeric(signal::filter(A,y)) - 
+                as.numeric(signal::filter(B,u)))
+  mod_ar <- ar(w,aic = F,order=na+nb)
+  L <- signal::Ma(c(1,-mod_ar$ar))
+  
+  # Step 4
 }
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