simpleVAR2: Simple VAR estimation

Description Usage Arguments Value

View source: R/SimpleVAR2.r

Description

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.

Usage

1
simpleVAR2(y, p = 1, d = 0, type = c("const", "trend", "both", "none"))

Arguments

y

a matrix containing the multivariate timeseries

p

integer for the lag order (default is p=1)

d

degree of differencing (default is d=0)

type

string indicating whether a constand a trend are included. If "const" only C is included. If "trend" only D is included. If "both" both C and D are included.

Value

A list of class "simpleVAR2" with components:

K

Dimension of the vector y. K=1 if univariate

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.


amvillegas/iMoMo documentation built on Sept. 18, 2020, 11:25 p.m.