# Matlab's sizing of exogenous inputs to vector time series

Matlabs commands for analyzing vector time series (e.g., vgxvarx, vgxproc) accept exogenous inputs. I understand the explanation that each of p inputs can have q paths with r observations, requiring (p)x(q)x(r) data. However, the vgx analysis commands accept one such block of data per time series, i.e., (p)x(q)x(r)x(n) data, where n is the number of time series.

Does anyone know the motivation for segregating the exogenous inputs into 1 set per time series? It seems to me that if you have a common set of exogenous inputs, you should be able to define the dependence of any time series on any input.

For context, I found that the modelling of exogenous inputs seem to be diverse.

In one example, the number of exogenous inputs is arbitrary, and the coupling between time series and inputs is many-to-many: http://faculty.washington.edu/ezivot/econ584/notes/varModels.pdf.

In another, the number of exogenous inputs is also arbitrary, and lags are incorporated into the model: http://cran.r-project.org/web/packages/MTS/MTS.pdf.

Wikipedia shows that for the nonvector model, lags of the exogenous inputs are mathematically represented: http://en.wikipedia.org/wiki/Autoregressive–moving-average_model. I'm aware from a previous post that you can represent lags of an input as additional inputs, so the absence of exogenous lags in the mathematical expression is not a show stopper.

This question seems to both Matlab-specific and concept-oriented, so in addition to comp.soft-sys-matlab, I've posted it to both Cross Validated and Stack Overflow:

• Cross-posting is not a good practice. – Aksakal May 28 '15 at 20:51
• I appreciate your answer to the question. However, about cross posting: I realize that this is a tenet from usenet days, and I had this discussion on a LaTeX forum. My impression is that there is no consensus. The pros is that it can reach multiple audiences, which makes sense if they are all relevant. The con is fragmentation, which can be ameliorated by posting links to the other forums. Bandwidth is no longer an issue as it was in usenet days. The discussion can be more than can fit in a comment, and I don't mind having it via another means (our firewall won't access chat forums, though). – StatSmartWannaB May 28 '15 at 21:52
• BTW, regarding the discussion on the LaTeX forum, the moderator approved crossposting so long as links were supplied. I've tried to adhere to that. – StatSmartWannaB May 28 '15 at 21:53