pseudo: The pseudo-causal model function

Description Usage Arguments Value Examples

Description

This function allows you to estimate pseudo-causal ARX models by OLS (compatible with most functions in lm() class).

Usage

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pseudo(y, x, p)

## Default S3 method:
pseudo(y, x, p)

## S3 method for class 'pseudo'
print(x, ...)

## S3 method for class 'pseudo'
summary(object, ...)

Arguments

y

Data vector of time series observations.

x

Matrix of data (every column represents one time series). Specify NULL or "not" if not wanted.

p

Number of lags to be included.

...

Other arguments

object

An object of the class "pseudo"

Value

An object of class "pseudo" is a list containing the following components:

coefficients

Vector of estimated coefficients.

coef.auto

Vector of estimated autoregressive parameters.

coef.exo

Vector of estimated exogenous parameters.

mse

Mean squared error.

residuals

Residuals.

loglikelihood

Value of the loglikelihood.

fitted.values

Fitted values.

df

Degrees of freedom.

vcov

Variance-covariance matrix of residuals.

Examples

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data <- sim.marx(c('t',1,1), c('t',1,1),100,0.5,0.4,0.3)
object <- pseudo(data$y, data$x, 2)
class(object) <- "pseudo"
summary(object)

Example output

$call
pseudo.default(y = data$y, x = data$x, p = 2)

$coefficients
        Estimate    Std.Err    t value      p value
int    3.9742567 3.02612323  1.3133162 1.922732e-01
lag 1  0.9908056 0.09746286 10.1659816 8.162422e-17
lag 2 -0.3220194 0.09591093 -3.3574841 1.136743e-03
exo 1  0.2761263 0.31153786  0.8863332 3.777000e-01

attr(,"class")
[1] "summary.pseudo"

MARX documentation built on May 2, 2019, 3:42 a.m.

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