VARbyGLS: VARbyGLS
In lucabarbaglia/t-VAR: Penalized Vector AutoRegressions with t-innovations
Description
Usage
Arguments
Value
Description
Function for the classic unpenalized VAR esitmation, Generalized Least Squares
Usage
1
VARbyGLS(Y, p)
Arguments
Y
mulitvariate time series.
p
lag length.
Value
A list containing:
"Beta"
a list of betas.
"Sigma"
var-cov matrix.
"Beta.vec"
vector of betas [b^1_11,b^2_11,..,b^P_11,b^1_21,b^2_21,..,b^P_21,.., b^P_JJ].
lucabarbaglia/t-VAR documentation built on Feb. 27, 2021, 3:46 a.m.
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Description Usage Arguments Value
Description
Function for the classic unpenalized VAR esitmation, Generalized Least Squares
Usage
1 | VARbyGLS(Y, p)
|
Arguments
Y |
mulitvariate time series. |
p |
lag length. |
Value
A list containing:
"Beta" |
a list of betas. |
"Sigma" |
var-cov matrix. |
"Beta.vec" |
vector of betas [b^1_11,b^2_11,..,b^P_11,b^1_21,b^2_21,..,b^P_21,.., b^P_JJ]. |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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