VAR.Z: VAR Design Matrix

In jeffwong/fastVAR: fastVAR

Description

Compute the Design Matrix for a standard VAR model

Usage

  VAR.Z(y, p, intercept = F)

Arguments

y	a multivariate time series matrix where rows represent time and columns represent different time series
p	the lag order of the VAR model
intercept	logical. If true, include a 1 vector for the intercept term

Value

n	Number of endogenous time series that are being measured
T	The number of time points in the reduced response matrix
k	The total number of predictor variables used to model each endogenous time series
dof	The degrees of freedom of the residuals
y.p	The reduced response matrix
Z	The design matrix
y.orig	The original input matrix
p	The lag order of the VAR model
intercept	logical. If true, include a 1 vector for the intercept term

jeffwong/fastVAR documentation built on May 19, 2019, 4:02 a.m.