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

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

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 Aug. 31, 2023, 9:08 a.m.