RForm_VAR | R Documentation |
Provides reduced form estimators of a VAR(p) model
RForm_VAR(TSL, p, W = NULL)
TSL |
matrix of time series |
p |
number of lags in the VAR model |
W |
Matrix of exogenous regressors |
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.
https://github.com/jm4474/SVARIV
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