VARX: VAR Model with Exogenous Variables

Description Usage Arguments Details Value Author(s) References

Description

Estimation of a VARX model

Usage

1
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 Oct. 10, 2018, 5:04 p.m.