BigVAR (version 1.0)

MultVarSim: Simulate a VAR

Description

Simulate a VAR

Usage

MultVarSim(k, A1, p, Sigma, T)

Arguments

k

Number of Series

A1

Either a $k \times k$ coefficient matrix or a $kp \times kp$ matrix created using VarptoVar1MC.

p

Maximum Lag Order

Sigma

Residual Covariance Matrix of dimension $k\times k$

T

Number of simulations

Value

• Returns a $T \times k$ of realizations from a VAR.

References

Lutkepohl, "A New Introduction to Multiple Time Series Analysis"

See Also

VarptoVar1MC

Examples

k=3;p=6
B=matrix(0,nrow=k,ncol=p*k)
A1<- matrix(c(.4,-.02,.01,-.02,.3,.02,.01,.04,.3),ncol=3,nrow=3)
A2 <- matrix(c(.2,0,0,0,.3,0,0,0,.13),ncol=3,nrow=3)
B[,1:k]=A1
B[,(4*k+1):(5*k)]=A2
A <- VarptoVar1MC(B,p,k)
Y <-MultVarSim(k,A,p,.1*diag(k),100)