I'm having a bit of trouble following the explanation of the parameters for vgxset. Being new to the field of time-series is probably part of my problem.
The vgxset help page (http://www.mathworks.com/help/econ/vgxset.html) says that its for a generalized model structure, VARMAX, and I assume that I just use a portion of that for VARMA. I basically tried to figure out what parameters pertain to VARMA versus, as opposed to the additional parameters for VARMAX. I assumed (maybe wrongly) nX and b pertain to the exogenous variables. Unfortunatley, I haven't found much on the internet about the prevailing notational conventions for a VARMAX model, so it's hard to be sure.
The SAS page for VARMAX (http://support.sas.com/documentation/cdl/en/etsug/67525/HTML/default/viewer.htm#etsug_varmax_details02.htm) shows that if you have "r" exogenous inputs and k time series, and if you look back at "s" time steps' worth of exogenous inputs, then you need "s" matrices of coefficients, each (k)x(r) in size.
This doesn't seem to be consistent with the vgxset page, which simply provides an nX-vector "b" of regression parameters. So my assumption that nX and b pertain to the exogenous inputs seems wrong, yet I'm not sure what else they can refer to in a VARMAX model. Furthermore, in all 3 examples given, nX seems to be set to the 3rd argument "s" in VARMAX(p,q,s). Again, though, it's not entirely clear because in all the examples, p=s=2.
Would someone be so kind as to shed some light on VARMAX parameters "b" and "nX"?