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

In guilbran/dynfactoR: 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)

guilbran/dynfactoR documentation built on May 8, 2019, 1:35 a.m.