VAR_OLS: Ordinary Least Square (OLS) estimation for VAR model

In morner75/bayesVAR: Bayesian Vector Autoregressive model

Ordinary Least Square (OLS) estimation for VAR model

Description

provide OLS estimates of VAR models

Usage

VAR_OLS(data, p, exos = colnames(data)[ncol(data)], confint = 0.95)

## S3 method for class 'OLS'
fitted(object)

## S3 method for class 'OLS'
coef(object)

## S3 method for class 'OLS'
summary(object)

## S3 method for class 'OLS'
plot(x, y = NULL, ncol.fig = 2)

Arguments

data	time-series data with a xts format
p	a integer, time lags of endogenous variables
exos	a character vector, exogenous variables
confint	a level of confidence interval
object	a OLS VAR model
x	OLS VAR model
y	NULL
ncol.fig	a integer, number of figures plotted in a row

Value

OLS object, a coefficient matrix, covariance matrix, fitted values etc.

Methods (by generic)

• fitted: fitted values for response variables

• coef: a coefficient matrix of a VAR model

• summary: model Summary

• plot: Summary plot

morner75/bayesVAR documentation built on April 6, 2024, 7:25 a.m.