VAR.Pope: Bias-correction for VAR parameter estimators based on Pope's...

In VAR.etp: VAR Modelling: Estimation, Testing, and Prediction

Bias-correction for VAR parameter estimators based on Pope's formula

Description

The function returns bias-corrected parmater estimators and Bias estimators based on Pope's asymptotic formula

Usage

VAR.Pope(x, p, type = "const")

Arguments

x	data matrix in column
p	AR order
type	"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Details

Kilian's (1998) stationarity-correction is used for bias-correction

Value

coef	Bias-corrected coefficient matrix
resid	matrix of residuals
sigu	residual covariance matrix
Bias	Bias Estimate

Author(s)

Jae H. Kim

References

Kim, J. H. 2004, Bias-corrected bootstrap prediction regions for Vector Autoregression, Journal of FOrecasting 23, 141-154.

Kilian, L. (1998). Small sample confidence intervals for impulse response functions, The Review of Economics and Statistics, 80, 218 - 230.

Nicholls DF, Pope AL. 1988, Bias in estimation of multivariate autoregression. Australian Journal of Statistics, 30A, 296-309.

Pope AL. 1990. Biases of estimators in multivariate non-Gaussian autoregression, Journal of Time Series Analysis 11, 249-258.

Examples

data(dat)
VAR.Pope(dat,p=2,type="const")

VAR.etp documentation built on Aug. 31, 2023, 9:08 a.m.