# VARData: Data generating process of VAR(p) In puchen8229/VARs: What the Package Does (One Line, Title Case)

## Description

This function will generate data from a staionary VAR(p) process and return a list containing data and parameters used in the VAR(p) process.

## Usage

 `1` ```VARData(n, p, T, r_np, A, B, Co, U, Sigma, type, X, mu, Yo) ```

## Arguments

 `n` : number of variables `p` : lag length `T` : number of observations `r_np` : n x p matrix of roots outside unit circle for an n dimensional independent ar(p)-processes (Lag equations). If not provided, it will be generated randomly. `A` : an n x n full rank matrix of transformation to generate correlated VAR(p) from the n independent AR(p) `B` : (n,n,p) array of the AR(p) process. If B is not given, it will be calculated out of r_np and A. `Co` : (n,k+1) vector of intercept of the VAR(p) process. for type="none" Co = O*(1:n), for const Co is an n vector, exog0 Co is a (n,k) matrix for exog1 Co is an (n,1+k) matrix Depending on type it will be zeros for none, `U` : residuals, if it is not NA it will be used as input to generate the VAR(p) `Sigma` : The covariance matrix of the n dynamically independent processes `type` : deterministic component "none", "const" "exog0" and "exog1" are four options `X` : (T x k) matrix of exogeneous variables. `mu` : an n vector of the expected mean of the VAR(p) process `Yo` : (p x n) matrix of initial values of the process

## Value

 `1` ``` : A list containing the generated data, the parameters and the input exogeous variables. res = list(n,p,type,r_np,Phi,A,B,Co,Sigma,Y,X,resid,U,Y1,Yo,check) ```

## Examples

 ```1 2 3 4 5 6 7 8``` ```res_d = VARData(n=2,p=2,T=100,type="const") res_d = VARData(n=2,p=2,T=10,Co=c(1:2)*0,type="none") res_d = VARData(n=2,p=2,T=10,Co=c(1:2), type="const") res_d = VARData(n=3,p=2,T=200,type="exog1",X=matrix(rnorm(400),200,2)) res_d = VARData(n=3,p=2,T=200,Co=matrix(c(0,0,0,1,2,3,3,2,1),3,3), type="exog0",X=matrix(rnorm(400),200,2)) res_d = VARData(n=2,p=2,T=100,type="const") res_d = VARData(n=3,p=2,T=200,type="exog1",X=matrix(rnorm(400),200,2)) ```

puchen8229/VARs documentation built on Dec. 31, 2020, 2:10 a.m.