VAR.est: Estimation of unrestricted VAR(p) model parameters

View source: R/VAR.est.R

VAR.estR Documentation

Estimation of unrestricted VAR(p) model parameters

Description

This function returns least-squares estimation results for VAR(p) model

Usage

VAR.est(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

VAR estimation

Value

coef

coefficient matrix

resid

matrix of residuals

sigu

residual covariance matrix

zzmat

data moment matrix

zmat

data moment matrix

tratio

matrix of tratio corresponding to coef matrix

Note

See Chapter 3 of Lutkepohl (2005)

Author(s)

Jae H. Kim

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples


#replicating Section 3.2.3 of of Lutkepohl (2005)
data(dat)
M=VAR.est(dat,p=2,type="const")
print(M$coef)
print(M$tratio)

VAR.etp documentation built on July 2, 2022, 1:05 a.m.