Description Usage Arguments Details Value Author(s) References

Estimation of a VARX model

1 |

`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 |

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

`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 |

Ruey S. Tsay

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

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