RForm_VAR: RForm_VAR

Description Usage Arguments Value See Also

View source: R/RForm_VAR.R

Description

Provides reduced form estimators of a VAR(p) model

Usage

1
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


martinbaumgaertner/varexternal documentation built on Nov. 20, 2019, 11:28 p.m.