fitted method for objects of class nlVar, i.e. VAR and VECM models.

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Description

Returns the fitted values of the model, either as computed in the model, or back to the original series level.

Usage

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## S3 method for class 'nlVar'
fitted(object, level = c("model", "original"), ...)

Arguments

object

An object of class ‘nlVar’; generated by VECM or lineVar.

level

How to return the fitted values. See below.

...

Currently not used.

Details

In case of a VAR in differences, in ADF specification, or a VECM, the fitted values are actually in differences. With the option level="original", the function returns the series in the original level.

For VAR in levels, the two arguments are evidently the same and hence it is not taken into account, returning a warning.

Value

A matrix.

Author(s)

Matthieu Stigler

Examples

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## estimate models
data(barry)

ve <- VECM(barry, lag=2)
va <- lineVar(barry, lag=1)
va_diff <- lineVar(barry, lag=1, I="diff")
va_ADF <- lineVar(barry, lag=1, I="ADF")


## get fitted values:
tail(fitted(ve))
tail(fitted(ve, level="original"))

tail(fitted(va))
tail(fitted(object=va, level="original"))

tail(fitted(va_diff))
tail(fitted(object=va_diff, level="original"))

tail(fitted(va_ADF))
tail(fitted(object=va_ADF, level="original"))

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