VARX: VAR Model with Exogenous Variables

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

VAR Model with Exogenous Variables

Description

Estimation of a VARX model

Usage

VARX(zt, p, xt = NULL, m = 0, include.mean = T, fixed = NULL, output = T)

Arguments

zt	A T-by-k data matrix of a k-dimensional time series
p	The VAR order
xt	A T-by-kx data matrix of kx exogenous variables
m	The number of lags of exogenous variables
include.mean	A logical switch to include the constant vector. Default is to include the constant.
fixed	A logical matrix for setting parameters to zero.
output	A logical switch to control output

Details

Performs least squares estimation of a VARX(p,s) model

Value

data	The observed time series
xt	The data matrix of explanatory variables
aror	VAR order
m	The number of lags of explanatory variables used
Ph0	The constant vector
Phi	VAR coefficient matrix
beta	The regression coefficient matrix
residuals	Residual series
coef	The parameter estimates to be used in model simplification
se.coef	Standard errors of the parameter estimates
include.mean	A logical switch to include the mean vector

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

MTS documentation built on April 11, 2022, 5:07 p.m.