Description Usage Arguments Value
Function to fit VAR mole of the form:
Δ^d y_t = C+Dt+∑_{i=1}^p A_i Δ^d y_{t-i} + ε_t
where C and D are K-dimensional vectors for parameters and A_1,...,A_p are K\times K matrices of autoregressive parampeters.
1 | simpleVAR2(y, p = 1, d = 0, type = c("const", "trend", "both", "none"))
|
y |
a matrix containing the multivariate timeseries |
p |
integer for the lag order (default is |
d |
degree of differencing (default is |
type |
string indicating whether a constand a trend are included. If
|
A list of class "simpleVAR2"
with components:
K |
Dimension of the vector y. |
A |
A 3-dimensional array with the vector autregressive matrices, A_1,...,A_p. |
C |
Vector of constant parameters. |
D |
Vector of trend parametesr. |
p |
Integer indicating the lag order. |
d |
Degree of differencing. |
n |
number of time periods used in the fitting. |
Sigma |
Variance-covariance matrix. |
resid |
Residuals of the model. |
fittingModel |
Output of the model call underlying the fitting. |
y |
Data used in the fitting |
dy |
Difference data used in the fitting |
datamat |
Array including all hte lags used in fitting the model. |
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