Description Usage Arguments Value Examples
This function calls the vars::var
function to calculate the VAR model and applies restrictions if needed. We set the intercept to 1 for restricted equations because calculations go wrong otherwise (this is a bug in the vars library).
1 |
endo_matrix |
A numeric matrix of endogenous data. |
exo_matrix |
Either |
lag |
A nonnegative integer specifying the lag length of the model. Specifying 0 for the lag results in calculating a lag 1 model with all lag-1 terms restricted. |
A varest
object with the VAR estimation result.
1 2 3 |
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