VAR: Estimate a p-th order vector autoregressive (VAR) model

In SebKrantz/dynfacto_R: Dynamic Factor Model Estimation for Nowcasting

Description

Estimate a p-th order vector autoregressive (VAR) model

Usage

VAR(x, p)

Arguments

x	Data matrix (T x n)
p	Maximum lag order, i.e. VAR(p) will be estimated

Value

Estimated parameter matrix, residuals and regression model independent and dependent variables

Examples

x <- matrix(rnorm(50*2), nrow=50, ncol=2)
VAR(x, 2)

SebKrantz/dynfacto_R documentation built on Dec. 31, 2020, 4:30 p.m.