RForm_VAR: RForm_VAR
In martinbaumgaertner/varexternal: Vector autoregression with external instruments
RForm_VAR R Documentation
RForm_VAR
Description
Provides reduced form estimators of a VAR(p) model
Usage
RForm_VAR(TSL, p, W = NULL)
Arguments
TSL
matrix of time series
p
number of lags in the VAR model
W
Matrix of exogenous regressors
Value
AL Least-squares estimator of the VAR coefficients
Sigma Least-squares estimator of the VAR residuals
eta VAR model residuals
X Matrix of VAR covariates
Y VAR matrix of endogenous regressors
If no exogenous regressors are specified, our estimation always includes a constant.
See Also
https://github.com/jm4474/SVARIV
martinbaumgaertner/varexternal documentation built on April 27, 2022, 1:31 a.m.
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| RForm_VAR | R Documentation |
RForm_VAR
Description
Provides reduced form estimators of a VAR(p) model
Usage
RForm_VAR(TSL, p, W = NULL)
Arguments
TSL |
matrix of time series |
p |
number of lags in the VAR model |
W |
Matrix of exogenous regressors |
Value
AL Least-squares estimator of the VAR coefficients
Sigma Least-squares estimator of the VAR residuals
eta VAR model residuals
X Matrix of VAR covariates
Y VAR matrix of endogenous regressors
If no exogenous regressors are specified, our estimation always includes a constant.
See Also
https://github.com/jm4474/SVARIV
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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