simuVARX: Simulate VAR process
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
simuVARX R Documentation
Simulate VAR process
Description
This function simulates a vector autoregresive process.
Usage
simuVARX(mdl_h0, burnin = 100)
Arguments
mdl_h0
List containing the following DGP parameters
n: Length of series.
mu: A (q x 1) vector of means.
sigma: A (q x q) covariance matrix.
phi: A (q x (q x p)) matrix of autoregressive coefficients.
p: Number of autoregressive lags.
q: Number of series.
eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.
Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables.
betaZ: A (qz x q) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.
burnin
Number of simulated observations to remove from beginning. Default is 100.
Value
List with simulated vector autoregressive series and its DGP parameters.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| simuVARX | R Documentation |
Simulate VAR process
Description
This function simulates a vector autoregresive process.
Usage
simuVARX(mdl_h0, burnin = 100)
Arguments
mdl_h0 |
List containing the following DGP parameters
|
burnin |
Number of simulated observations to remove from beginning. Default is |
Value
List with simulated vector autoregressive series and its DGP parameters.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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