VARest: Estimation of VAR(p)

In puchen8229/VARs: What the Package Does (One Line, Title Case)

Description

This function estimates the unknown parameters of a specified VAR(p) model based on provided data.

Usage

VARest(res)

Arguments

res	:a list containing the components which are the output of VARData including as least: n, p, type, Y and optionally X and type.

Value

res :a list like the input, but filled with estimated parameter values, AIC, BIC and LH

Examples

res_d = VARData(n=2,p=2,T=100,type="const")  
res_e = VARest(res_d) 
summary(res_e$varp)
IRF = irf(res_e$varp,nstep=20)
plot(IRF)

res_d = VARData(n=2,p=2,T=100,Co=matrix(c(0,0,1,1),2,2),type="exog0",X=c(1:100))
str(res_d)
res_e = VARest(res=res_d)
summary(res_e$varp)
IRF = irf(res_e$varp,nstep=20,boot=FALSE)
plot(IRF)

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