VARfit: VAR(p) (Vector Autoregression) Model Fitting.

In VARtests: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models

Description

Estimates a VAR(p) model from data. The function's purpose is to be used before the ACtest or archBootTest functions, and doesn't have the same full functionality as for example the function VAR in the vars package.

Usage

VARfit(y, p = 1, const = TRUE, trend = FALSE, exogen = NULL, univariate = FALSE)

Arguments

y	an N x K matrix containing the time series to be modeled.
p	the lag length of the VAR(p) process.
const	if TRUE (default) the model will include a constant.
trend	if TRUE the model will include a trend.
exogen	a matrix or vector of exogenous variable(s). Must have the same number of rows as 'y' does.
univariate	if TRUE univariate (i.e. an AR(p) model for each timeseries) estimates will also be printed.

Value

a list of class "VARfit" with the following slots:

y	the data matrix.
p	the lag length p.
N	the the number of observations/rows in the time series 'y'.
K	the the number of variables in the time series 'y'.
const	TRUE if the model included a constant.
trend	TRUE if the model included a trend.
exogen	the exogen variable(s).
Z	the [N - p] x [Kp + numberOf(const, trend, dummy)] design matrix, where the lags of the y matrix are appended.
call	how the function VARfit() was called.
coef	a matrix of the estimated parameters.
resid	the [N - p] x K matrix of residuals.
uniCoef	a matrix of the estimated parameter for the univariate case (an AR(p) for each column in 'y').
uniResid	the [N - p] x K matrix of residuals from the univariate (AR(p)) cases.
univariate	the 'univariate' argument.
NnonLagVar	the number of non-endogenous variables (i.e. the number of 'exogen' variables + const + trend).
description	who fitted the model and when.
time	computation time taken for the estimation.

See Also

ACtest to test for error autocorrelations, and archBootTest to test for ARCH errors.

Examples

fit <- VARfit(y = VodafoneCDS, p = 3, const = TRUE, trend = FALSE)

VARtests documentation built on May 2, 2019, 5:03 a.m.