Description Usage Arguments Value Author(s) References See Also Examples

Performs estimation of an Error-Correction VAR(p) model using the Quasi Maximum Likelihood Method.

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`x` |
A T-by-k data matrix of a k-dimensional co-integrated VAR process |

`p` |
VAR order |

`ibeta` |
Initial estimate of the co-integrating matrix. The number of columns of ibeta is the number of co-integrating series |

`include.const` |
A logical switch to include a constant term in the model. The default is no constant |

`fixed` |
A logical matrix to set zero parameter constraints. |

`alpha` |
Initial estimate of alpha, if any |

`se.alpha` |
Initial estimate of the standard error of alpha, if any |

`se.beta` |
Initial estimate of the standard error of beta, if any |

`phip` |
Initial estimate of the VAR coefficients, if any |

`se.phip` |
Initial estimate of the stanard error of the VAR coefficients, if any |

`data` |
The vector time series |

`ncoint` |
The number of co-integrating series |

`arorder` |
VAR order |

`include.const` |
Logical switch to include constant |

`alpha,se.alpha` |
Estimates and their standard errors of the alpha matrix |

`beta,se.beta` |
Estimates and their standard errors of the beta matrix |

`aic,bic` |
Information criteria of the fitted model |

`residuals` |
The residual series |

`Sigma` |
Residual covariance matrix |

`Phip,se.Phip` |
Estimates and their standard errors of VAR coefficients |

Ruey S. Tsay

Tsay (2014, Chapter 5)

ECMvar1

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