simuVARX_cpp: Simulate VARX process

View source: R/RcppExports.R

simuVARX_cppR Documentation

Simulate VARX process

Description

This function simulates a VARX process.

Usage

simuVARX_cpp(mdl_h0, burnin = 100L)

Arguments

mdl_h0

List containing the following DGP parameters

  • n: Length of series.

  • mu: A (q x 1) vector of means.

  • sigma: A (q x q) covariance matrix.

  • phi: A (q x qp) matrix of autoregressive coefficients.

  • p: Number of autoregressive lags.

  • q: Number of series.

  • eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.

  • Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables.

  • betaZ: A (qz x q) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.

burnin

Number of simulated observations to remove from beginning. Default is 100.

Value

List with simulated vector autoregressive series and its DGP parameters.


MSTest documentation built on Oct. 31, 2024, 1:06 a.m.