bvar_build_X: Build X matrix from supplied data

In bdemeshev/bvarr: Package for Bayesian Vector Auto Regressions

Description

Build X matrix from supplied data

Usage

bvar_build_X(Y_in, Z_in = NULL, constant = TRUE, p = 1)

Arguments

Y_in	endogeneous variables [T_in x m]
Z_in	optional exogeneous variables [T_in x ...]
constant	whether the constant should be included, default is TRUE
p	number of lags

Details

Build X matrix from supplied data

Value

X [T x k] matrix of right hand side regressors: endogeneous and exogeneous variables, T = T_in - p, k = m * p + d, d is the number of exogeneous variables including constant if present X = [endo | const | other exo]

Examples

data(Yraw)
X <- bvar_build_X(Yraw, constant = TRUE, p = 4)

bdemeshev/bvarr documentation built on May 12, 2019, 3:40 a.m.