estSSfromVARX: Estimate a state space TSmodel using VAR estimation

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Estimate a VAR TSmodel with (optionally) an exogenous input and convert to state space.

Usage

    estSSfromVARX(data, warn=TRUE, ...)

Arguments

data	An object with the structure of an object of class TSdata (see TSdata).
warn	Logical indicating if warnings should be printed (TRUE) or suppressed (FALSE).
...	See arguements to estVARXls

Details

This function uses the functions estVARXls and toSS.

Value

A state space model in an object of class TSestModel.

References

Gilbert, P. D. (1993) State space and ARMA models: An overview of the equivalence. Working paper 93-4, Bank of Canada. Available at http://www.bankofcanada.ca/1993/03/publications/research/working-paper-199/.

Gilbert, P. D. (1995) Combining VAR Estimation and State Space Model Reduction for Simple Good Predictions. J. of Forecasting: Special Issue on VAR Modelling. 14:229-250.

See Also

toSS estSSMittnik bft estVARXls estMaxLik

Examples

    data("eg1.DSE.data.diff", package="dse")
    model <-estSSfromVARX(eg1.DSE.data.diff)

Example output

Loading required package: tfplot
Loading required package: tframe

Attaching package: ‘dse’

The following objects are masked from ‘package:stats’:

    acf, simulate

dse documentation built on March 26, 2020, 7:12 p.m.