varxfilter: VARX Fit/Filter Function

In rgarch: Flexible GARCH modelling in R

Description

Vector Autoregressive (VAR) with Constant and Optional Exogenous Regressors (X) Fit and Filter function for use with multivariate GARCH models.

Usage

varxfilter(X, p, exogen = NULL, Bcoef = NULL, robust = FALSE, gamma = 0.25, delta = 0.01, nc = 10, ns = 500)

Arguments

X	A multivariate data matrix.
p	The number of autoregressive lags.
exogen	An optional matrix of exogenous regressors with as many rows as X, and appropriately lagged.
Bcoef	As optional matrix of coefficients for the VARX model to filter rather than fit X.
robust	Whether to use the robust version of VAR based on the multivariate Least Trimmed Squares Estimator described in Croux and Joossens (2008).
gamma	Proportion to trim in the robust method.
delta	The critical value for Reweighted estimator for the robust method.
ns	The number of subsets to use for the robust method.
nc	The number of C-steps to use for the robust method.

Details

This is a convenience function to be optionally used when using the multivariate GARCH methods.

Value

A list with the following items:

Bcoef	The coefficient matrix with rows equal to number of assets, and columns equal to number of assets x number of lags plus 1 (constant) plus number of exogenous regressors.
xfitted	The fitted series (conditional mean series).
xresiduals	The residuals.
Bcov	The covariance matrix of the coefficients.
se	The standard error of the coefficients.
tstat	The t-stat of the s.e.
pstat	The p-values of the s.e.
lag	The number of autoregressive lags.
mxn	The number of exogenous regressors.

Note

Part of the functionality and structure is borrowed from the 'vars' package, but the estimation method is implemented in a different way without calling 'lm'. Internally, methods for VARX forecasting and simulation are also implemented but not currently exposed to the user directly. The robust method is based on the matlab program of Christophe Croux available from his website.

Author(s)

Alexios Ghalanos

References

Lutkepohl, H. New introduction to multiple time series analysis, 2005, Springer.
Croux, C. and Joossens, K. Robust estimation of the vector autoregressive model by a least trimmed squares procedure, 2008, COMPSTAT, 489-501.

rgarch documentation built on May 2, 2019, 5:22 p.m.