estimate_var: Estimate VAR model on multivariate time series

In bdemeshev/torro:

Description

estimate_var returns estimated VAR model

Usage

estimate_var(y, p = 1, ...)

Arguments

y	multivariate time series
p	number of lags for VAR model
...	further arguments passed to VAR function

Details

Simply a wrapper for VAR function from vars package.

Value

estimated VAR model

Examples

data(rus_macro)
y_small <- rus_macro[, c("cpi", "employment", "m2")]
var_model <- estimate_var(y_small, p = 1)

bdemeshev/torro documentation built on May 21, 2019, 8:36 a.m.