lineVar | R Documentation |
Estimate either a VAR or a VECM.
lineVar(
data,
lag,
r = 1,
include = c("const", "trend", "none", "both"),
model = c("VAR", "VECM"),
I = c("level", "diff", "ADF"),
beta = NULL,
estim = c("2OLS", "ML"),
LRinclude = c("none", "const", "trend", "both"),
exogen = NULL
)
data |
multivariate time series (first row being first=oldest value) |
lag |
Number of lags to include in each regime |
r |
Number of cointegrating relationships |
include |
Type of deterministic regressors to include |
model |
Model to estimate. Either a VAR or a VECM |
I |
For VAR only: whether in the VAR the variables are to be taken in levels (original series) or in difference, or similarly to the univariate ADF case. |
beta |
for VECM only: user-specified cointegrating value.
If NULL, will be estimated using the estimator specified in |
estim |
Type of estimator for the VECM: '2OLS' for the two-step approach or 'ML' for Johansen MLE |
LRinclude |
For VECM: type of deterministic regressor(s) to include in the long-term relationship. Can also be a matrix with exogeneous regressors (2OLS only). |
exogen |
Inclusion of exogenous variables (first row being first=oldest value). Is either of same size than data (then automatically cut) or than end-sample. |
This function provides basic functionalities for VAR and VECM models. More comprehensive functions are in package vars. A few differences appear in the VECM estimation:
The Engle-Granger estimator is available
Results are printed in a different ways, using a matrix form
The matrix of coefficients can be exported to latex, with or without standard-values and significance stars
Two estimators are available: the Engle-Granger two-steps
approach (2OLS
) or the Johansen (ML
). For the 2OLS,
deterministic regressors (or external variables if LRinclude
is of
class numeric) can be added for the estimation of the cointegrating value and
for the ECT. This is only working when the beta value is not pre-specified.
The argument beta
is only for VECM
, look at the specific help page for more details.
Fitted model data
Matthieu Stigler
VECM
which is just a wrapper for lineVar(..., model="VECM")
.
Methods predict.VAR
, VARrep
, regime
, irf
and toLatex
.
TVAR
and TVECM
for the corresponding threshold
models. linear
for the univariate AR model.
data(zeroyld)
#Fit a VAR
VAR <- lineVar(zeroyld, lag=1)
VAR
summary(VAR)
#compare results with package vars:
if(require(vars)) {
a<-VAR(zeroyld, p=1)
coef_vars <- t(sapply(coef(a), function(x) x[c(3,1,2),1]))
all.equal(coef(VAR),coef_vars, check.attributes=FALSE)
}
###VECM
VECM.EG <- lineVar(zeroyld, lag=2, model="VECM")
VECM.EG
summary(VECM.EG)
VECM.ML <- lineVar(zeroyld, lag=2, model="VECM", estim="ML")
VECM.ML
summary(VECM.ML)
###Check Johansen MLE
myVECM <- lineVar(zeroyld, lag=1, include="const", model="VECM", estim="ML")
summary(myVECM, digits=7)
#comparing with vars package
if(require(vars)){
a<-ca.jo(zeroyld, spec="trans")
summary(a)
#same answer also!
}
##export to Latex
toLatex(VECM.EG)
toLatex(summary(VECM.EG))
options("show.signif.stars"=FALSE)
toLatex(summary(VECM.EG), parenthese="Pvalue")
options("show.signif.stars"=TRUE)
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