VAR  R Documentation 
Estimation of a VAR by utilising OLS per equation.
VAR(y, p = 1, type = c("const", "trend", "both", "none"),
season = NULL, exogen = NULL, lag.max = NULL,
ic = c("AIC", "HQ", "SC", "FPE"))
## S3 method for class 'varest'
print(x, digits = max(3, getOption("digits")  3), ...)
y 
Data item containing the endogenous variables 
p 
Integer for the lag order (default is p=1). 
type 
Type of deterministic regressors to include. 
season 
Inlusion of centered seasonal dummy variables (integer value of frequency). 
exogen 
Inlusion of exogenous variables. 
lag.max 
Integer, determines the highest lag order for lag
length selection according to the choosen 
ic 
Character, selects the information criteria, if

x 
Object with class attribute ‘varest’. 
digits 
the number of significant digits to use when printing. 
... 
further arguments passed to or from other methods. 
Estimates a VAR by OLS per equation. The model is of the following form:
\bold{y}_t = A_1 \bold{y}_{t1} + \ldots + A_p \bold{y}_{tp} +
CD_t + \bold{u}_t
where \bold{y}_t
is a K \times 1
vector of endogenous
variables and u_t
assigns a spherical disturbance term of the
same dimension. The coefficient matrices A_1, \ldots, A_p
are of
dimension K \times K
. In addition, either a constant and/or a
trend can be included as deterministic regressors as well as centered
seasonal dummy variables and/or exogenous variables (term CD_T
, by
setting the type
argument to the corresponding value and/or
setting season
to the desired frequency (integer) and/or providing a
matrix object for exogen
, respectively. The default for type
is
const
and for season
and exogen
the default is
set to NULL
.
If for lag.max
an integer value is provided instead of
NULL
(the default), the lag length is determined by the
selected information criteria in ic
, the default is Akaike.
A list with class attribute ‘varest
’ holding the
following elements:
varresult 
list of ‘ 
datamat 
The data matrix of the endogenous and explanatory variables. 
y 
The data matrix of the endogenous variables 
type 
A character, specifying the deterministic regressors. 
p 
An integer specifying the lag order. 
K 
An integer specifying the dimension of the VAR. 
obs 
An integer specifying the number of used observations. 
totobs 
An integer specifying the total number of observations. 
restrictions 
Either 
call 
The 
Bernhard Pfaff
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
summary
, plot
,
coef
, residuals
,
fitted
, predict
, irf
,
fevd
, Phi
, Psi
,
normality.test
, arch.test
, serial.test
,
VARselect
, logLik
data(Canada)
VAR(Canada, p = 2, type = "none")
VAR(Canada, p = 2, type = "const")
VAR(Canada, p = 2, type = "trend")
VAR(Canada, p = 2, type = "both")
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