VARfit | R Documentation |
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 vars::VAR
in the vars package.
VARfit(y, p = 1, const = TRUE, trend = FALSE, exogen = NULL, univariate = FALSE)
y |
an N x K matrix containing the time series to be modeled. |
p |
the lag length of the VAR(p) process. |
const |
if |
trend |
if |
exogen |
a matrix or vector of exogenous variable(s). Must have the same number of rows as 'y' does. |
univariate |
if |
a list of class "VARfit"
with the following slots:
y |
the data matrix. |
p |
the lag length |
N |
the the number of observations/rows in the time series 'y'. |
K |
the the number of variables in the time series 'y'. |
const |
|
trend |
|
exogen |
the exogen variable(s). |
Z |
the [N - p] x [Kp + numberOf(const, trend, dummy)] design matrix, where the lags of the |
call |
how the function |
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. |
ACtest
to test for error autocorrelations, and archBootTest
to test for ARCH errors.
fit <- VARfit(y = VodafoneCDS, p = 3, const = TRUE, trend = FALSE)
fit
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